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Exponential smoothing: Estimation by maximum likelihood

✍ Scribed by Laurence Broze; Guy Mélard

Publisher
John Wiley and Sons
Year
1990
Tongue
English
Weight
646 KB
Volume
9
Category
Article
ISSN
0277-6693

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✦ Synopsis

Abstract

In this paper several forecasting methods based on exponential smoothing with an underlying seasonal autoregressive‐moving average (SARIMA) model are considered. The relations between the smoothing constants and the coefficients of the autoregressive and moving average polynomials are used. On that basis, a maximum likelihood procedure for parameter estimation is described. The approach rules out the need for initial smoothed values. Prediction intervals are also obtained as a by‐product of the approach and a fast algorithm for implementing the method is outlined.

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