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| Author: | Broze, L. Melard, G. |
| Title: | Exponential smoothing : estimation by maximum likelihood. |
| Journal: | Journal of Forecasting
1990 : OCT-DEC, VOL. 9:5, p. 445-455 |
| Index terms: | FORECASTING TECHNIQUES BOX-JENKINS METHOD |
| Language: | eng |
| Abstract: | Exponential smoothing /ES/ is the most widely used among the extrapolative forecasting techniques. Several forecasting methods based on ES with an underlying seasonal auto-regressive-moving average /SARIMA/ model are discussed. Relations between smoothing constants and the coefficients of the auto-regressive and moving average polynomials are used, and a maximum likelihood estimation is described. This new approach does not need initial smoothed values. Prediction intervals are also obtained as a by-product of the procedure, and an algorithm for implementing this model is presented briefly. |
SCIMA