Optimal Properties of Exponentially Weighted Forecasts
作者:
JohnF. Muth,
期刊:
Journal of the American Statistical Association
(Taylor Available online 1960)
卷期:
Volume 55,
issue 290
页码: 299-306
ISSN:0162-1459
年代: 1960
DOI:10.1080/01621459.1960.10482064
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
The exponentially weighted average can be interpreted as the expected value of a time series made up of two kinds of random components: one lasting a single time period (transitory) and the other lasting through all subsequent periods (permanent). Such a time series may, therefore, be regarded as a random walk with “noise” superimposed. It is also shown that, for this series, the best forecast for the time period immediately ahead is the best forecast foranyfuture time period, because both give estimates of the permanent component. The estimate of the permanent component is imperfect, and so the estimate of a regression coefficient is inconsistent in a relation involving the permanent (e.g. consumption as a function of permanent income). Its bias is small, however.
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