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Why the damped trend works

Gardner Jr, E.S. and McKenzie, E. (2011) Why the damped trend works. Journal of the Operational Research Society, 62. pp. 1177-1180. ISSN 0160-5682

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Abstract

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.

Item type: Article
ID code: 25636
Keywords: forecasting, time series, exponential smoothing, Probabilities. Mathematical statistics
Subjects: Science > Mathematics > Probabilities. Mathematical statistics
Department: Faculty of Science > Mathematics and Statistics
Related URLs:
    Depositing user: Mrs Carolynne Westwood
    Date Deposited: 23 Jun 2010 16:38
    Last modified: 02 May 2012 10:35
    URI: http://strathprints.strath.ac.uk/id/eprint/25636

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