Incorporating a tracking signal into a state space model |
| |
Authors: | Ralph D. Snyder Anne B. Koehler |
| |
Affiliation: | aMonash University, Australia;bMiami University, United States |
| |
Abstract: | It is a common practice to complement a forecasting method such as simple exponential smoothing with a monitoring scheme to detect those situations where forecasts have failed to adapt to structural change. It will be suggested in this paper that the equations for simple exponential smoothing can be augmented by a common monitoring statistic to provide a method that automatically adapts to structural change without human intervention. The resulting method, which turns out to be a restricted form of damped trend corrected exponential smoothing, is compared with related methods on the annual data from the M3 competition. It is shown to be better than simple exponential smoothing and more consistent than traditional damped trend exponential smoothing. |
| |
Keywords: | Exponential smoothing Monitoring forecasts Structural change Adjusting forecasts State space models Damped trend |
本文献已被 ScienceDirect 等数据库收录! |