Some Observations on Adaptive Forecasting
The procedure of "adaptive" or "exponential" forecasting is based on weighted averages of two sources of evidence; one is the latest evidence (the most recent observation), the other the value computed one period before. As such, it is an easy, quick and cheap method; very little information is needed for a forecast; also, the most recent information is used. This article serves a dual purpose. One is to simplify the forecasting procedure and to clarify its characteristics in the simplest possible manner. This objective is pursued in Sections 2-4. The second purpose is to formulate a probabilistic model underlying the prediction procedure and to select weights which minimize the mean-square prediction error. Sections 5 and 6 are devoted to that purpose.
Year of publication: |
1964
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Authors: | Theil, H. ; Wage, S. |
Published in: |
Management Science. - Institute for Operations Research and the Management Sciences - INFORMS, ISSN 0025-1909. - Vol. 10.1964, 2, p. 198-206
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Publisher: |
Institute for Operations Research and the Management Sciences - INFORMS |
Saved in:
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