IDEAS home Printed from https://ideas.repec.org/a/spr/aistmt/v60y2008i2p407-426.html
   My bibliography  Save this article

The admissible parameter space for exponential smoothing models

Author

Listed:
  • Rob Hyndman
  • Muhammad Akram
  • Blyth Archibald

Abstract

No abstract is available for this item.

Suggested Citation

  • Rob Hyndman & Muhammad Akram & Blyth Archibald, 2008. "The admissible parameter space for exponential smoothing models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 60(2), pages 407-426, June.
    • Handle: RePEc:spr:aistmt:v:60:y:2008:i:2:p:407-426
    DOI: 10.1007/s10463-006-0109-x
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s10463-006-0109-x
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1007/s10463-006-0109-x?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Snyder Ralph D & Forbes Catherine S, 2003. "Reconstructing the Kalman Filter for Stationary and Non Stationary Time Series," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 7(2), pages 1-20, July.
    2. 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.
    3. Lawton, Richard, 1998. "How should additive Holt-Winters estimates be corrected?," International Journal of Forecasting, Elsevier, vol. 14(3), pages 393-403, September.
    4. Snyder, Ralph D & Ord, J Keith & Koehler, Anne B, 2001. "Prediction Intervals for ARIMA Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(2), pages 217-225, April.
    5. Archibald, Blyth C., 1990. "Parameter space of the Holt-winters' model," International Journal of Forecasting, Elsevier, vol. 6(2), pages 199-209, July.
    6. Hyndman, R.J. & Koehler, A.B. & Ord, J.K. & Snyder, R.D., 2001. "Prediction Intervals for Exponential Smoothing State Space Models," Monash Econometrics and Business Statistics Working Papers 11/01, Monash University, Department of Econometrics and Business Statistics.
    7. S. A. Roberts, 1982. "A General Class of Holt-Winters Type Forecasting Models," Management Science, INFORMS, vol. 28(7), pages 808-820, July.
    8. Ord, J.K. & Koehler, A. & Snyder, R.D., 1995. "Estimation and Prediction for a Class of Dynamic Nonlinear Statistical Models," Monash Econometrics and Business Statistics Working Papers 4/95, Monash University, Department of Econometrics and Business Statistics.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Fernández-Amador, Octavio & Francois, Joseph F. & Oberdabernig, Doris A. & Tomberger, Patrick, 2020. "The methane footprint of nations: Stylized facts from a global panel dataset," Ecological Economics, Elsevier, vol. 170(C).
    2. George Athanasopoulos & Ashton de Silva, 2010. "Multivariate exponential smoothing for forecasting tourist arrivals to Australia and New Zealand," Monash Econometrics and Business Statistics Working Papers 11/09, Monash University, Department of Econometrics and Business Statistics.
    3. Li, Qinyun & Gaalman, Gerard & Disney, Stephen M., 2023. "On the equivalence of the proportional and damped trend order-up-to policies: An eigenvalue analysis," International Journal of Production Economics, Elsevier, vol. 265(C).
    4. Frank Davenport & Chris Funk, 2015. "Using time series structural characteristics to analyze grain prices in food insecure countries," Food Security: The Science, Sociology and Economics of Food Production and Access to Food, Springer;The International Society for Plant Pathology, vol. 7(5), pages 1055-1070, October.
    5. Alysha M De Livera, 2010. "Automatic forecasting with a modified exponential smoothing state space framework," Monash Econometrics and Business Statistics Working Papers 10/10, Monash University, Department of Econometrics and Business Statistics.
    6. Sbrana, Giacomo & Silvestrini, Andrea, 2022. "Random coefficient state-space model: Estimation and performance in M3–M4 competitions," International Journal of Forecasting, Elsevier, vol. 38(1), pages 352-366.
    7. Sinclair Davidson & Ashton de Silva, 2014. "The Plain Truth about Plain Packaging: An Econometric Analysis of the Australian 2011 Tobacco Plain Packaging Act," Agenda - A Journal of Policy Analysis and Reform, Australian National University, College of Business and Economics, School of Economics, vol. 21(1), pages 27-44.
    8. Hyndman, Rob J. & Khandakar, Yeasmin, 2008. "Automatic Time Series Forecasting: The forecast Package for R," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 27(i03).
    9. Chinloy, Peter & Jiang, Cheng & John, Kose, 2020. "Investment, depreciation and obsolescence of R&D," Journal of Financial Stability, Elsevier, vol. 49(C).
    10. dos Anjos, Lucas & Weber, Igor Daniel & Godoy, Wesley Augusto Conde, 2023. "Modelling the biocontrol of Spodoptera frugiperda: A mechanistic approach considering Bt crops and oviposition behaviour," Ecological Modelling, Elsevier, vol. 484(C).
    11. Svetunkov, Ivan & Kourentzes, Nikolaos, 2015. "Complex Exponential Smoothing," MPRA Paper 69394, University Library of Munich, Germany.
    12. Chai, Jian & Zhang, Zhong-Yu & Wang, Shou-Yang & Lai, Kin Keung & Liu, John, 2014. "Aviation fuel demand development in China," Energy Economics, Elsevier, vol. 46(C), pages 224-235.
    13. So, Mike K.P. & Chung, Ray S.W., 2014. "Dynamic seasonality in time series," Computational Statistics & Data Analysis, Elsevier, vol. 70(C), pages 212-226.
    14. Corberán-Vallet, Ana & Bermúdez, José D. & Vercher, Enriqueta, 2011. "Forecasting correlated time series with exponential smoothing models," International Journal of Forecasting, Elsevier, vol. 27(2), pages 252-265.
    15. J Keith Ord & Ralph D Snyder & Anne B Koehler & Rob J Hyndman & Mark Leeds, 2005. "Time Series Forecasting: The Case for the Single Source of Error State Space," Monash Econometrics and Business Statistics Working Papers 7/05, Monash University, Department of Econometrics and Business Statistics.
    16. Ferbar Tratar, Liljana & Strmčnik, Ervin, 2016. "The comparison of Holt–Winters method and Multiple regression method: A case study," Energy, Elsevier, vol. 109(C), pages 266-276.
    17. Corberán-Vallet, Ana & Bermúdez, José D. & Vercher, Enriqueta, 2011. "Forecasting correlated time series with exponential smoothing models," International Journal of Forecasting, Elsevier, vol. 27(2), pages 252-265, April.
    18. Pritularga, Kandrika F. & Svetunkov, Ivan & Kourentzes, Nikolaos, 2023. "Shrinkage estimator for exponential smoothing models," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1351-1365.
    19. Sipos-Gug Sebastian & Badulescu Alina, 2014. "Entrepreneurship In Constructions Sector - Explanatory Economic Factors And Forecasts For Romania," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 379-389, July.
    20. Graff, Mario & Peña, Rafael & Medina, Aurelio & Escalante, Hugo Jair, 2014. "Wind speed forecasting using a portfolio of forecasters," Renewable Energy, Elsevier, vol. 68(C), pages 550-559.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Gardner, Everette Jr., 2006. "Exponential smoothing: The state of the art--Part II," International Journal of Forecasting, Elsevier, vol. 22(4), pages 637-666.
    2. Hyndman, Rob J. & Khandakar, Yeasmin, 2008. "Automatic Time Series Forecasting: The forecast Package for R," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 27(i03).
    3. De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, vol. 22(3), pages 443-473.
    4. Jan G. De Gooijer & Rob J. Hyndman, 2005. "25 Years of IIF Time Series Forecasting: A Selective Review," Monash Econometrics and Business Statistics Working Papers 12/05, Monash University, Department of Econometrics and Business Statistics.
    5. Alysha M De Livera, 2010. "Automatic forecasting with a modified exponential smoothing state space framework," Monash Econometrics and Business Statistics Working Papers 10/10, Monash University, Department of Econometrics and Business Statistics.
    6. E. Vercher & A. Corberán-Vallet & J. Segura & J. Bermúdez, 2012. "Initial conditions estimation for improving forecast accuracy in exponential smoothing," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 20(2), pages 517-533, July.
    7. J Keith Ord & Ralph D Snyder & Anne B Koehler & Rob J Hyndman & Mark Leeds, 2005. "Time Series Forecasting: The Case for the Single Source of Error State Space," Monash Econometrics and Business Statistics Working Papers 7/05, Monash University, Department of Econometrics and Business Statistics.
    8. Athanasopoulos, George & Hyndman, Rob J. & Song, Haiyan & Wu, Doris C., 2011. "The tourism forecasting competition," International Journal of Forecasting, Elsevier, vol. 27(3), pages 822-844.
    9. Rob J Hyndman & Muhammad Akram, 2006. "Some Nonlinear Exponential Smoothing Models are Unstable," Monash Econometrics and Business Statistics Working Papers 3/06, Monash University, Department of Econometrics and Business Statistics.
    10. Ralph D. Snyder, 2004. "Exponential Smoothing: A Prediction Error Decomposition Principle," Monash Econometrics and Business Statistics Working Papers 15/04, Monash University, Department of Econometrics and Business Statistics.
    11. Snyder, Ralph D. & Koehler, Anne B. & Hyndman, Rob J. & Ord, J. Keith, 2004. "Exponential smoothing models: Means and variances for lead-time demand," European Journal of Operational Research, Elsevier, vol. 158(2), pages 444-455, October.
    12. Archibald, Blyth C. & Koehler, Anne B., 2003. "Normalization of seasonal factors in Winters' methods," International Journal of Forecasting, Elsevier, vol. 19(1), pages 143-148.
    13. Hayat, Aziz & Bhatti, M. Ishaq, 2013. "Masking of volatility by seasonal adjustment methods," Economic Modelling, Elsevier, vol. 33(C), pages 676-688.
    14. Hyndman, R.J. & Koehler, A.B. & Ord, J.K. & Snyder, R.D., 2001. "Prediction Intervals for Exponential Smoothing State Space Models," Monash Econometrics and Business Statistics Working Papers 11/01, Monash University, Department of Econometrics and Business Statistics.
    15. Ralph D. Snyder & Anne B. Koehler & Rob J. Hyndman & J. Keith Ord, 2002. "Exponential Smoothing for Inventory Control: Means and Variances of Lead-Time Demand," Monash Econometrics and Business Statistics Working Papers 3/02, Monash University, Department of Econometrics and Business Statistics.
    16. Muhammad Akram & Rob J. Hyndman & J. Keith Ord, 2007. "Non-linear exponential smoothing and positive data," Monash Econometrics and Business Statistics Working Papers 14/07, Monash University, Department of Econometrics and Business Statistics.
    17. Koehler, Anne B. & Snyder, Ralph D. & Ord, J. Keith, 2001. "Forecasting models and prediction intervals for the multiplicative Holt-Winters method," International Journal of Forecasting, Elsevier, vol. 17(2), pages 269-286.
    18. Corberán-Vallet, Ana & Bermúdez, José D. & Vercher, Enriqueta, 2011. "Forecasting correlated time series with exponential smoothing models," International Journal of Forecasting, Elsevier, vol. 27(2), pages 252-265, April.
    19. Chew Lian Chua & G. C. Lim & Sarantis Tsiaplias, 2012. "A latent variable approach to forecasting the unemployment rate," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 31(3), pages 229-244, April.
    20. Taylor, James W., 2003. "Exponential smoothing with a damped multiplicative trend," International Journal of Forecasting, Elsevier, vol. 19(4), pages 715-725.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:aistmt:v:60:y:2008:i:2:p:407-426. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.