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Smooth Transition Exponential Smoothing

Abstract:

Adaptive exponential smoothing methods allow a smoothing parameter to change over time, in order to adapt to changes in the characteristics of the time series. However, these methods have tended to produce unstable forecasts and have performed poorly in empirical studies. This paper presents a new adaptive method, which enables a smoothing parameter to be modelled as a logistic function of a user-specified variable. The approach is analogous to that used to model the time-varying parameter in...

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Publication date:
2004-09-05
URN:
uuid:2c758046-276d-4bcb-821d-678673f599a7
Local pid:
oai:eureka.sbs.ox.ac.uk:1721

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