Exponential Smoothing Methods of Forecasting and General ARMA Time Series Representations
R.G. Shami and
Ralph Snyder ()
No 3/98, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics
The focus of this paper is on the relationship between the exponential smoothing methods of forecasting and the integrated autoregressive-moving average models underlying them. In this paper we derive, for the first time, the general linear relationship between their parameters. A method, suitable for implementation on computer, is proposed to determine the pertinent quantities in this relationship. It is illustrated on common forms of exponential smoothing.
Keywords: FORECASTS; TIME SERIES (search for similar items in EconPapers)
JEL-codes: C53 C32 (search for similar items in EconPapers)
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