Bayesian Exponential Smoothing

C.S. Forbes, Ralph David Snyder () and R.S. Shami

No 7/2000, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: In this paper, a Bayesian version of the exponential smoothing method of forecasting is proposed. The approach is based on a state space model containing only a single source of error for each time interval. This model allows us to improve current practices surrounding exponential smoothing by providing both point predictions and measures of the uncertainty surrounding them.

Keywords: Time series analysis; forecasting; structural model; local level model; prediction interval. (search for similar items in EconPapers)
JEL-codes: C11 C22 C51 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ets
Date: Written 2000-08
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