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Analysis and Generalisation of a Multivariate Exponential Smoothing Model

Author

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  • A. C. Harvey

    (London School of Economics, Houghton Street, London WC2A 2AE, United Kingdom)

Abstract

The multivariate exponential smoothing model of Enns, Machak, Spivey and Wrobleski is examined and it is found that its structure is such that it can be estimated by using techniques designed for a univariate exponential smoothing model. Similarly forecasts can be made using algorithms for the univariate model. The model can therefore be handled very easily. A more general univariate time series model, which can include polynomial trends and seasonal factors, is then set up and a multivariate generalisation, analogous to the multivariate exponential smoothing model, is introduced. It is shown that this model can also be handled using algorithms designed for the univariate case.

Suggested Citation

  • A. C. Harvey, 1986. "Analysis and Generalisation of a Multivariate Exponential Smoothing Model," Management Science, INFORMS, vol. 32(3), pages 374-380, March.
  • Handle: RePEc:inm:ormnsc:v:32:y:1986:i:3:p:374-380
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    File URL: http://dx.doi.org/10.1287/mnsc.32.3.374
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    References listed on IDEAS

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    1. Ian I. Mitroff, 1972. "The Myth of Objectivity OR Why Science Needs a New Psychology of Science," Management Science, INFORMS, vol. 18(10), pages 613-618, June.
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    Cited by:

    1. Bekiros, Stelios & Cardani, Roberta & Paccagnini, Alessia & Villa, Stefania, 2016. "Dealing with financial instability under a DSGE modeling approach with banking intermediation: A predictability analysis versus TVP-VARs," Journal of Financial Stability, Elsevier, pages 216-227.
    2. Stelios D. Bekiros & Alessia Paccagnini, 2016. "Policy‐Oriented Macroeconomic Forecasting with Hybrid DGSE and Time‐Varying Parameter VAR Models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 35(7), pages 613-632, November.
    3. Corberán-Vallet, Ana & Bermúdez, José D. & Vercher, Enriqueta, 2011. "Forecasting correlated time series with exponential smoothing models," International Journal of Forecasting, Elsevier, vol. 27(2), pages 252-265.
    4. K. Triantafyllopoulos, 2008. "Multivariate stochastic volatility with Bayesian dynamic linear models," Papers 0802.0214, arXiv.org.
    5. K. Triantafyllopoulos, 2007. "Covariance estimation for multivariate conditionally Gaussian dynamic linear models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(8), pages 551-569.
    6. Bermúdez, José D. & Corberán-Vallet, Ana & Vercher, Enriqueta, 2009. "Multivariate exponential smoothing: A Bayesian forecast approach based on simulation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(5), pages 1761-1769.
    7. Stelios Bekiros & Alessia Paccagnini, 2013. "On the predictability of time-varying VAR and DSGE models," Empirical Economics, Springer, pages 635-664.
    8. Stelios Bekiros & Alessia Paccagnini, 2013. "On the predictability of time-varying VAR and DSGE models," Empirical Economics, Springer, pages 635-664.
    9. Dimitrios D. Thomakos & Konstantinos Nikolopoulos, 2015. "Forecasting Multivariate Time Series with the Theta Method," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(3), pages 220-229, April.
    10. Croux, Christophe & Gelper, Sarah & Mahieu, Koen, 2010. "Robust exponential smoothing of multivariate time series," Computational Statistics & Data Analysis, Elsevier, vol. 54(12), pages 2999-3006, December.
    11. González, Fernando & Launonen, Simo, 2005. "Towards European monetary integration: the evolution of currency risk premium as a measure for monetary convergence prior to the implementation of currency unions," Working Paper Series 569, European Central Bank.
    12. Corberán-Vallet, Ana & Bermúdez, José D. & Vercher, Enriqueta, 2011. "Forecasting correlated time series with exponential smoothing models," International Journal of Forecasting, Elsevier, vol. 27(2), pages 252-265, April.
    13. Gardner, Everette Jr., 2006. "Exponential smoothing: The state of the art--Part II," International Journal of Forecasting, Elsevier, vol. 22(4), pages 637-666.
    14. Bekiros, Stelios, 2014. "Forecasting with a state space time-varying parameter VAR model: Evidence from the Euro area," Economic Modelling, Elsevier, vol. 38(C), pages 619-626.
    15. Triantafyllopoulos, Kostas, 2006. "Multivariate discount weighted regression and local level models," Computational Statistics & Data Analysis, Elsevier, vol. 50(12), pages 3702-3720, August.

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