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Some comments on the initialization of exponential smoothing

✍ Scribed by Johannes Ledolter; Bovas Abraham

Publisher
John Wiley and Sons
Year
1984
Tongue
English
Weight
412 KB
Volume
3
Category
Article
ISSN
0277-6693

No coin nor oath required. For personal study only.

✦ Synopsis

It is shown that the traditional choice for the initial smoothed statistics in general exponential smoothing leads to the same forecasts as the equivalent ARIMA model, provided that one uses zero starting values for the initial shocks. In addition, an initialization which uses 'backforecasts' as initial smoothed statistics is considered, and its relationship to unconditional least squares is explored.

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