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The correlation theory for stationary stochastic processes applied to exponential smoothing

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  • H. Grunwald

Abstract

Er wordt aangetoond dat tijdreeksen x(t), die stationaire eerste incrementen y(t) met een zeer speciale correlatiefunctie (φyy() hebben, d.m.v. exponential smoothing optimaal in de zin van Wiener geëxtrapoleerd worden. De smoothing parameter a. is gemakkelijk met behulp van (φyy() te berekenen. Het blijkt bovendien dat deze parameter soms ook groter dan één kan zijn. Een aantal generalisatus worden gediscussieerd en voor een daarvan wordt de extra‐polatie formule berekend.

Suggested Citation

  • H. Grunwald, 1965. "The correlation theory for stationary stochastic processes applied to exponential smoothing," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 19(2‐3), pages 129-138, June.
    • Handle: RePEc:bla:stanee:v:19:y:1965:i:2-3:p:129-138
    DOI: 10.1111/j.1467-9574.1965.tb00948.x
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