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Some comments on the initialization of exponential smoothing

 

作者: Johannes Ledolter,   Bovas Abraham,  

 

期刊: Journal of Forecasting  （WILEY Available online 1984）
卷期: Volume 3, issue 1  

页码: 79-84

 

ISSN:0277-6693

 

年代: 1984

 

DOI:10.1002/for.3980030109

 

出版商: John Wiley&Sons, Ltd.

 

关键词: Exponential smoothing;Initialization;Coefficient choice;Time seres;ARIMA: theory

 

数据来源: WILEY

 

摘要:

AbstractIt is shown that the traditional choice for the initial smoothed statistics in general exponential smoothing leads to the same forecasts as the equivalent ARIMA model, provided that one uses zero starting values for the initial shocks. In addition, an initialization which uses ‘backforecasts’ as initial smoothed statistics is considered, and its relationship to unconditional least squares is explo

 

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