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Multi-Series Heuristics for Exponential Smoothing

Author

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  • Snyder, R. D.
  • Shah, C.
  • Lehmer, C.

Abstract

In this paper several heuristics are proposed for calculating the smoothing parameter in exponential smoothing when forecasts of many 'closely' related series are required on a regular basis. The methods are evaluated using both synthetic and real data. They not only compare favourably against several other known forecasting techniques but they are also simple and computationally efficient.

Suggested Citation

  • Snyder, R. D. & Shah, C. & Lehmer, C., "undated". "Multi-Series Heuristics for Exponential Smoothing," Department of Econometrics and Business Statistics Working Papers 266889, Monash University, Department of Econometrics and Business Statistics.
    • Handle: RePEc:ags:monebs:266889
    DOI: 10.22004/ag.econ.266889
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