Rationalization of Exponential Smoothing in Terms of a Statistical Framework with Multiplicative Disturbances

Anne Koehler, Keith Ord and Ralph D. Snyder

No 267392, Department of Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: It is established in this paper that exponential smoothing, in its most general linear form, is an optimal method of forecasting in large samples for time series with an irregular component, the size of which depends on a local mean. As such it is demonstrated that exponential smoothing has a statistical basis that extends beyond the framework of Box and Jenkins.

Keywords: Research; Methods/Statistical; Methods (search for similar items in EconPapers)
Pages: 15
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Persistent link: https://EconPapers.repec.org/RePEc:ags:monebs:267392

DOI: 10.22004/ag.econ.267392

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