Topics in Time Series Analysis. II. When are Exponential Smoothing Forecast Procedures Optimal
WISCONSIN UNIV-MADISON DEPT OF STATISTICS
Pagination or Media Count:
This paper shows that exponential smoothing forecast procedures, in particular those recommended by Brown, will provide optimal MMSE forecasts only if the underlying process is a member of a particular restricted class of ARIMA models. Actual study of time series, however, does not give any empirical support to this restricted class of models.
- Statistics and Probability