Accession Number:

ADA026309

Title:

Topics in Time Series Analysis. II. When are Exponential Smoothing Forecast Procedures Optimal

Descriptive Note:

Interim rept.

Corporate Author:

WISCONSIN UNIV-MADISON DEPT OF STATISTICS

Report Date:

1975-12-01

Pagination or Media Count:

25.0

Abstract:

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.

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE