A Comparison of Some Standard Seasonal Forecasting Systems

Ed McKenzie

30 citations0/0 files storedJournal of the Royal Statistical Society Series D (The Statistician)

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Forecasting Techniques and Applications Time Series Analysis and Forecasting Statistical and numerical algorithms

Abstract

Many seasonal forecasting systems employ exponentially weighted moving averages usually in the estimation of a trend which consists of sums of products of polynomials and sinusoids. The difference equation structure of such trends is exploited to obtain adaptive predictors. Brown's General Exponential Smoothing, i.e. discounted least squares, the Holt-Winters seasonal form and Harrison's Seatrend and Doubts are shown to be optimal in a minimum mean square error sense for a particular family of stochastic processes, and comparisons are made between them and the Box-Jenkins systems for these processes. One criterion for choosing between the standard systems is considered, viz. stationarity of the forecast errors, and the effect on this choice of invertibility of the forecasting system noted. Some recommendations regarding application are made.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 30 citations exist upstream.

References

1977Book Review: Time Series Analysis: Forecasting and Control 1960Forecasting Sales by Exponentially Weighted Moving Averages 1964Smoothing, Forecasting and Prediction of Discrete Time Series.1974Experience with Forecasting Univariate Time Series and the Combination of Forecasts 1973Box-Jenkins Seasonal Forecasting: Problems in a Case-Study 1973Empirical Comparison of Models for Short Range Forecasting 1965Short-Term Sales Forecasting

Cited by

1985Exponential smoothing: The state of the art 1978The Holt-Winters Forecasting Procedure 2003Normalization of seasonal factors in Winters’ methods 1978The Monitoring of Exponentially Weighted Forecasts

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.