Exponential smoothing: Estimation by maximum likelihood |
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Authors: | Laurence Broze Guy Mlard |
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Institution: | Laurence Broze,Guy Mélard |
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Abstract: | In this paper several forecasting methods based on exponential smoothing with an underlying seasonal autoregressive-moving average (SARIMA) model are considered. The relations between the smoothing constants and the coefficients of the autoregressive and moving average polynomials are used. On that basis, a maximum likelihood procedure for parameter estimation is described. The approach rules out the need for initial smoothed values. Prediction intervals are also obtained as a by-product of the approach and a fast algorithm for implementing the method is outlined. |
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Keywords: | Box-Jenkins methodology Exponential smoothing Maximum likelihood estimation Time series ARIMA models |
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