Reduced Rank Vector Exponential Smoothing

Ashton de Silva

No 246, Econometric Society 2004 Australasian Meetings from Econometric Society

Abstract: The single source of error state space Vector Simple Exponential Smoothing model is introduced. A hypothesis free two-stage methodology that detects and defines the reduced rank of a smoothing matrix is proposed. A singular value decomposition of the smoothing matrix forms the basis of both stages

Keywords: Vector Exponential Smoothing; singular value decomposition; information criterion; state space models. (search for similar items in EconPapers)
Date: 2004-08-11
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Persistent link: https://EconPapers.repec.org/RePEc:ecm:ausm04:246

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