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Some comments on the initialization of exponential smoothing
Author(s) -
Ledolter Johannes,
Abraham Bovas
Publication year - 1984
Publication title -
journal of forecasting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.543
H-Index - 59
eISSN - 1099-131X
pISSN - 0277-6693
DOI - 10.1002/for.3980030109
Subject(s) - exponential smoothing , initialization , exponential function , mathematics , smoothing , statistics , econometrics , autoregressive integrated moving average , computer science , time series , mathematical analysis , programming language
It is shown that the traditional choice for the initial smoothed statistics in general exponential smoothing leads to the same forecasts as the equivalent ARIMA model, provided that one uses zero starting values for the initial shocks. In addition, an initialization which uses ‘backforecasts’ as initial smoothed statistics is considered, and its relationship to unconditional least squares is explored.