Gardner Jr, E.S. and McKenzie, E. (2011) Why the damped trend works. Journal of the Operational Research Society, 62. pp. 1177-1180. ISSN 0160-5682Full text not available in this repository. (Request a copy from the Strathclyde author)
The damped trend method of exponential smoothing is a benchmark that has been difficult to beat in empirical studies of forecast accuracy. One explanation for this success is the flexibility of the method, which contains a variety of special cases that are automatically selected during the fitting process. That is, when the method is fitted, the optimal parameters usually define a special case rather than the method itself. For example, in the M3-competition time series, the parameters defined the damped trend method only about 43% of the time using local initial values for the method components. In the remaining series, a special case was selected, ranging from a random walk to a deterministic trend. The most common special case was a new method, simple exponential smoothing with a damped drift term.
|Keywords:||forecasting, time series, exponential smoothing, Probabilities. Mathematical statistics, Management Information Systems, Strategy and Management, Management Science and Operations Research, Marketing|
|Subjects:||Science > Mathematics > Probabilities. Mathematical statistics|
|Department:||Faculty of Science > Mathematics and Statistics|
|Depositing user:||Mrs Carolynne Westwood|
|Date Deposited:||23 Jun 2010 15:38|
|Last modified:||27 Jan 2017 03:40|