Incorporating a tracking signal into a state space model

B-Tier
Journal: International Journal of Forecasting
Year: 2009
Volume: 25
Issue: 3
Pages: 526-530

Authors (2)

Snyder, Ralph D. (Monash University) Koehler, Anne B. (not in RePEc)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

It is a common practice to complement a forecasting method such as simple exponential smoothing with a monitoring scheme to detect those situations where forecasts have failed to adapt to structural change. It will be suggested in this paper that the equations for simple exponential smoothing can be augmented by a common monitoring statistic to provide a method that automatically adapts to structural change without human intervention. The resulting method, which turns out to be a restricted form of damped trend corrected exponential smoothing, is compared with related methods on the annual data from the M3 competition. It is shown to be better than simple exponential smoothing and more consistent than traditional damped trend exponential smoothing.

Technical Details

RePEc Handle
repec:eee:intfor:v:25:y:2009:i:3:p:526-530
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-29