Picture of person typing on laptop with programming code visible on the laptop screen

World class computing and information science research at Strathclyde...

The Strathprints institutional repository is a digital archive of University of Strathclyde's Open Access research outputs. Strathprints provides access to thousands of Open Access research papers by University of Strathclyde researchers, including by researchers from the Department of Computer & Information Sciences involved in mathematically structured programming, similarity and metric search, computer security, software systems, combinatronics and digital health.

The Department also includes the iSchool Research Group, which performs leading research into socio-technical phenomena and topics such as information retrieval and information seeking behaviour.

Explore

Damped trend exponential smoothing : A modelling viewpoint

Mckenzie, Edward and Gardner Jr, Everette S. (2010) Damped trend exponential smoothing : A modelling viewpoint. International Journal of Forecasting, 26 (4). pp. 661-665. ISSN 0169-2070

Full text not available in this repository. Request a copy from the Strathclyde author

Abstract

Over the past twenty years, damped trend exponential smoothing has performed well in numerous empirical studies, and it is now well established as an accurate forecasting method. The original motivation for this method was intuitively appealing, but said very little about why or when it provided an optimal approach. The aim of this paper is to provide a theoretical rationale for the damped trend method based on Brown's original thinking about the form of underlying models for exponential smoothing. We develop a random coefficient state space model for which damped trend smoothing provides an optimal approach, and within which the damping parameter can be interpreted directly as a measure of the persistence of the linear trend.