An Examination of the Use of Adaptive Filtering in Forecasting
作者:
WheelwrightSteven C.,
MakridakisSpyros,
期刊:
Journal of the Operational Research Society
(Taylor Available online 1973)
卷期:
Volume 24,
issue 1
页码: 55-64
ISSN:0160-5682
年代: 1973
DOI:10.1057/jors.1973.8
出版商: Taylor&Francis
数据来源: Taylor
摘要:
AbstractAdaptive filtering is a technique for preparing short- to medium-term forecasts based on the weighting of historical observations, in a similar way to moving average and exponential smoothing. However, adaptive filtering, as it has been developed in electrical engineering, attempts to distinguish a signal pattern from random noise, rather than simply smoothing the noise of past data. This paper reviews the technique of adaptive filtering and investigates its applications and limitations for the forecasting practitioner. This is done by looking at the performance of adaptive filtering in forecasting a number of time series and by comparing it with other forecasting techniques.
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