An extension of the Whittaker–Henderson method of graduation

Alicja Nocon and William Scott

Scandinavian Actuarial Journal, 2012, vol. 2012, issue 1, 70-79

Abstract: We present an outline and historical summary of the Whittaker–Henderson method of graduation (or data smoothing), together with an extension of the method in which the graduated values are obtained by minimising a Whittaker–Henderson criterion subject to constraints. Examples are given, using data for the global average temperature anomaly and for a set of share prices, in which the proposed method appears to give good results.

Date: 2012
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DOI: 10.1080/03461238.2010.534257

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