A New Look at Models For Exponential Smoothing
β Scribed by Chris Chatfield; Anne B. Koehler; J. K. Ord; Ralph D. Snyder
- Book ID
- 108549167
- Publisher
- John Wiley and Sons
- Year
- 2001
- Weight
- 219 KB
- Volume
- 50
- Category
- Article
- ISSN
- 0039-0526
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## Abstract In this paper we propose a Bayesian forecasting approach for Holt's additive exponential smoothing method. Starting from the state space formulation, a formula for the forecast is derived and reduced to a twoβdimensional integration that can be computed numerically in a straightforward
Three general classes of state space models are presented, using the single source of error formulation. The first class is the standard linear model with homoscedastic errors, the second retains the linear structure but incorporates a dynamic form of heteroscedasticity, and the third allows for non