Statistical Foundations of Exponential Smoothing

Ralph D. Snyder

No 266862, Department of Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: In this paper the exponential smoothing methods of forecasting are rationalized in terms of a statistical state space model with only one primary source of randomness. Their link, in general terms, with the ARMA class of models ( both stationary and nonstationary cases) is also explored.

Keywords: Research; Methods/Statistical; Methods (search for similar items in EconPapers)
Pages: 24
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Persistent link: https://EconPapers.repec.org/RePEc:ags:monebs:266862

DOI: 10.22004/ag.econ.266862

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