A View of Damped Trend as Incorporating a Tracking Signal into a State Space Model
Damped 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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- Gardner, Everette Jr., 2006. "Exponential smoothing: The state of the art--Part II," International Journal of Forecasting, Elsevier, vol. 22(4), pages 637-666.
- Makridakis, Spyros & Hibon, Michele, 2000. "The M3-Competition: results, conclusions and implications," International Journal of Forecasting, Elsevier, vol. 16(4), pages 451-476.
- 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.
- 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.
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