Title

Stationary Forecasting; Using Holt‐Winter And A Modification Of Holt‐Winter

Keywords

Exponential smoothing; Forecasting; Stationary process

Abstract

The mean square error of the best (projection) linear predictor and some approximation methods are compared. Some analytical results concerning the optimal ‘smoothing constant’ for Holt‐Winter in Moving Average (1), model MA(1), and Autoregressive Moving Average (1,1), model ARMA(1,1), have been derived. A modified Holt‐Winter technique has been proposed and it is shown for MA(1) and ARMA(1,1) it coincides with the best linear predictor. Finally, we considered flow prediction for the Niger River and the performance of modified Holt‐Winter graphically. Copyright © 1990 WILEY‐VCH Verlag GmbH & Co. KGaA

Publication Date

1-1-1990

Publication Title

Biometrical Journal

Volume

32

Issue

3

Number of Pages

347-356

Document Type

Article

Personal Identifier

scopus

DOI Link

https://doi.org/10.1002/bimj.4710320317

Socpus ID

84981976092 (Scopus)

Source API URL

https://api.elsevier.com/content/abstract/scopus_id/84981976092

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