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Keywords:
fundamental theorem of exponential smoothing; missing observations; interpolation procedure; multivariate time series; time series
fundamental theorem of exponential smoothing; missing observations; interpolation procedure; multivariate time series; time series
Summary:
The paper deals with some practical problems connected with the classical exponential smoothing in time series. The fundamental theorem of the exponential smoothing is extended to the case with missing observations and an interpolation procedure in the framework of the exponential smoothing is described. A simple method of the exponential smoothing for multivariate time series is suggested.
References:
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[4] D. A. D'Esopo: A note on forecasting by the exponential smoothing operator. Operations Research 9 (1961), 686-687. DOI 10.1287/opre.9.5.686 | MR 0143318
[5] P. G. Enns J. A. Machak W. A. Spivey W. J. Wrobleski: Forecasting applications of an adaptive multiple exponential smoothing model. Management Science 28 (1982), 1035-1044. DOI 10.1287/mnsc.28.9.1035 | MR 0676229
[6] T. B. Fomby R. C. Hill S. R. Johnson: Advanced Econometric Methods. Springer, New York, 1984. MR 0753284
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