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

## 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 |
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ID code: | 25636 |

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: | 21 May 2015 12:48 |

URI: | http://strathprints.strath.ac.uk/id/eprint/25636 |

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