Topics in Time Series Analysis. II. When are Exponential Smoothing Forecast Procedures Optimal

Abstract

This paper shows that exponential smoothing forecast procedures, in particular those recommended by Brown, will provide optimal (MMSE) forecasts only if the underlying process is a member of a particular restricted class of ARIMA models. Actual study of time series, however, does not give any empirical support to this restricted class of models.

Open PDF

Document Details

Document Type
Technical Report
Publication Date
Dec 01, 1975
Accession Number
ADA026309

Entities

People

  • George E. P. Box
  • Johannes Ledolter

Organizations

  • University of Wisconsin Madison Department of Statistics

Tags

DTIC Thesaurus Topics

  • Air Force
  • Data Science
  • Identities
  • Information Science
  • Instructions
  • Mathematics
  • Scientific Research
  • Security
  • Statistics
  • Wisconsin

Fields of Study

  • Mathematics

Readers

  • Atmospheric Science/Meteorology
  • Statistical inference.