A View of Damped Trend as Incorporating a Tracking Signal into a State Space Model
AbstractDamped trend exponential smoothing has previously been established as an important forecasting method. Here, it is shown to have close links to simple exponential smoothing with a smoothed error tracking signal. A special case of damped trend exponential smoothing emerges from our analysis, one that is more parsimonious because it effectively relies on one less parameter. This special case is compared with its traditional counterpart in an application to the annual data from the M3 competition and is shown to be quite competitive.
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Bibliographic InfoPaper provided by Monash University, Department of Econometrics and Business Statistics in its series Monash Econometrics and Business Statistics Working Papers with number 7/08.
Length: 9 pages
Date of creation: Sep 2008
Date of revision:
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Postal: PO Box 11E, Monash University, Victoria 3800, Australia
Web page: http://www.buseco.monash.edu.au/depts/ebs/
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Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-03-22 (All new papers)
- NEP-ECM-2009-03-22 (Econometrics)
- NEP-ETS-2009-03-22 (Econometric Time Series)
- NEP-FOR-2009-03-22 (Forecasting)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Gardner, Everette Jr., 2006. "Exponential smoothing: The state of the art--Part II," International Journal of Forecasting, Elsevier, vol. 22(4), pages 637-666.
- Hyndman, R.J. & Koehler, A.B. & Snyder, R.D. & Grose, S., 2000.
"A State Space Framework for Automatic Forecasting Using Exponential Smoothing Methods,"
Monash Econometrics and Business Statistics Working Papers
9/00, Monash University, Department of Econometrics and Business Statistics.
- Hyndman, Rob J. & Koehler, Anne B. & Snyder, Ralph D. & Grose, Simone, 2002. "A state space framework for automatic forecasting using exponential smoothing methods," International Journal of Forecasting, Elsevier, vol. 18(3), pages 439-454.
- Makridakis, Spyros & Hibon, Michele, 2000. "The M3-Competition: results, conclusions and implications," International Journal of Forecasting, Elsevier, vol. 16(4), pages 451-476.
- Gorr, Wilpen L. & Schneider, Matthew J., 2013. "Large-change forecast accuracy: Reanalysis of M3-Competition data using receiver operating characteristic analysis," International Journal of Forecasting, Elsevier, vol. 29(2), pages 274-281.
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