The paper is devoted to robust modifications of exponential smoothing for time series with outliers or long-tailed distributions. Classical exponential smoothing applied to such time series is sensitive to the presence of outliers or long-tailed distributions and may give inadequate smoothing and fo
Exponential smoothing — I
✍ Scribed by Robert M. Oliver
- Book ID
- 103584827
- Publisher
- Elsevier Science
- Year
- 1984
- Tongue
- English
- Weight
- 332 KB
- Volume
- 3
- Category
- Article
- ISSN
- 0167-6377
No coin nor oath required. For personal study only.
📜 SIMILAR VOLUMES
## Abstract Adaptive exponential smoothing methods allow a smoothing parameter to change over time, in order to adapt to changes in the characteristics of the time series. However, these methods have tended to produce unstable forecasts and have performed poorly in empirical studies. This paper pre
This article investigates the question of stability and the impact of learning in a stochastic setup, when only limited information is used to construct estimators. More precisely, we assume that the parameters are estimated by exponential smoothing, where past parameters are down-weighted and the w
## 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 u