Forecasting with Exponential Smoothing

The State Space Approach

By: Anne B. Koehler, Rob Hyndman, Ralph D. Snyder, J. Keith Ord

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Paperback | 4 July 2008

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Exponential smoothing methods have been around since the 1950s, and are still the most popular forecasting methods used in business and industry. However, a modeling framework incorporating stochastic models, likelihood calculation, prediction intervals and procedures for model selection, was not developed until recently. This book brings together all of the important new results on the state space framework for exponential smoothing. It will be of interest to people wanting to apply the methods in their own area of interest as well as for researchers wanting to take the ideas in new directions. Part 1 provides an introduction to exponential smoothing and the underlying models. The essential details are given in Part 2, which also provide links to the most important papers in the literature. More advanced topics are covered in Part 3, including the mathematical properties of the models and extensions of the models for specific problems. Applications to particular domains are discussed in Part 4.

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Introduction
Basic Concepts	p. 3
Getting Started	p. 9
Essentials
Linear Innovations State Space Models	p. 33
Nonlinear and Heteroscedastic Innovations State Space Models	p. 53
Estimation of Innovations State Space Models	p. 67
Prediction Distributions and Intervals	p. 75
Selection of Models	p. 105
Further Topics
Normalizing Seasonal Components	p. 123
Models with Regressor Variables	p. 137
Some Properties of Linear Models	p. 149
Reduced Forms and Relationships with ARIMA Models	p. 163
Linear Innovations State Space Models with Random Seed States	p. 179
Conventional State Space Models	p. 209
Time Series with Multiple Seasonal Patterns	p. 229
Nonlinear Models for Positive Data	p. 255
Models for Count Data	p. 277
Vector Exponential Smoothing	p. 287
Applications
Inventory Control Applications	p. 303
Conditional Heteroscedasticity and Applications in Finance	p. 317
Economic Applications: The Beveridge-Nelson Decomposition	p. 325
References	p. 339
Author Index	p. 349
Data Index	p. 353
Subject Index	p. 355
Table of Contents provided by Blackwell. All Rights Reserved.

Forecasting with Exponential Smoothing

The State Space Approach

At a Glance

Paperback

Shipping

How to return your order

Defective items

You Can Find This Book In

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