Note: Rule-Based Forecasting vs. Damped-Trend Exponential Smoothing
This paper evaluates the ex ante performance of rule-based time series forecasting systems proposed in earlier research. The author shows that comparable performance can be obtained with a simpler alternative, a damped-trend version of exponential smoothing fitted to minimize the Mean-Absolute-Deviation (MAD) criterion. The results suggest that the performance of rule-based systems would be improved through this alternative and that time series forecasters should consider MAD fits in model development.
Volume (Year): 45 (1999)
Issue (Month): 8 (August)
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