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Exponential smoothing: estimation by maximum likelihood

par Broze, Laurence ;Melard, Guy
Référence Journal of Forecasting, 9, 5, page (445-455)
Publication Publié, 1990

Article révisé par les pairs

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Résumé :

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. Copyright © 1990 John Wiley & Sons, Ltd.