Forecasting with Exponential Smoothing

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Sprache: Englisch

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Beschreibung

Exponential smoothing methods have been around since the 1950s, and are still the most popular forecasting methods used in business and industry. However, a modelling framework incorporating stochastic models, likelihood calculation, prediction intervals and procedures for model selection, was not developed until relatively 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. In short, the book gives an overview of current topics and develops new ideas that have not appeared in the academic literature.

Zusammenfassung

Inhaltsverzeichnis

Basic Concepts.- Getting Started.- Essentials.- Linear Innovations State Space Models.- Nonlinear and Heteroscedastic Innovations State Space Models.- Estimation of Innovations State Space Models.- Prediction Distributions and Intervals.- Selection of Models.- Further Topics.- Normalizing Seasonal Components.- Models with Regressor Variables.- Some Properties of Linear Models.- Reduced Forms and Relationships with ARIMA Models.- Linear Innovations State Space Models with Random Seed States.- Conventional State Space Models.- Time Series with Multiple Seasonal Patterns.- Nonlinear Models for Positive Data.- Models for Count Data.- Vector Exponential Smoothing.- Applications.- Inventory Control Applications.- Conditional Heteroscedasticity and Applications in Finance.- Economic Applications: The Beveridge-Nelson Decomposition.

Details

Erscheinungsjahr:	2008
Fachbereich:	Allgemeines
Genre:	Recht , Sozialwissenschaften , Wirtschaft
Rubrik:	Recht & Wirtschaft
Medium:	Taschenbuch
Reihe:	Springer Series in Statistics
Inhalt:	xiii 362 S.
ISBN-13:	9783540719168
ISBN-10:	3540719164
Sprache:	Englisch
Herstellernummer:	12047758
Einband:	Kartoniert / Broschiert
Autor:	Hyndman, Rob Koehler, Anne B. Ord, J. Keith Snyder, Ralph D.
Hersteller:	Springer Springer Vieweg Springer-Verlag GmbH Springer Series in Statistics
Verantwortliche Person für die EU:	Springer Verlag GmbH, Tiergartenstr. 17, D-69121 Heidelberg, juergen.hartmann@springer.com
Maße:	235 x 155 x 21 mm
Von/Mit:	Rob Hyndman (u. a.)
Erscheinungsdatum:	04.07.2008
Gewicht:	0,575 kg