How Far Ahead Can an EWMA Model be Extrapolated?
作者:
JohnstonF. R.,
BoylanJ. E.,
期刊:
Journal of the Operational Research Society
(Taylor Available online 1994)
卷期:
Volume 45,
issue 6
页码: 710-713
ISSN:0160-5682
年代: 1994
DOI:10.1057/jors.1994.108
出版商: Taylor&Francis
关键词: forecasting;exponentially weighted moving average
数据来源: Taylor
摘要:
AbstractThe existence of uncertainty is a feature of the business world. Forecasting does not remove this uncertainty, but sets out to measure and minimize it. This paper suggests decomposing the forecast error into three components, namely the residual unexplained error, the error resulting from the estimation procedures of the model, and the errors due to the approximate nature of the model. The quantification of this division for a steady-state model, or exponentially weighted moving average (EWMA) process, is used as an illustration. The results obtained indicate the maximum safe limits for extrapolating this model into the future.
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