Adaptive Smoothing for Forecasting Seasonal Series

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Abstract
Seasonal series can be forecast by using Brown's adaptive forecasting method. The main advantage of this approach is that explicit expressions for the variance of the forecast error are derived without the use of numerical matrix inversion. This allows the forecaster to devise means to obtain a signal warning of possible failure of the forecasting model. Explicit expressions are also given for the smoothing vector, and the coefficients of the model can be updated without the use of either matrix inversion or multiplication, thus making the computation of the forecasts simple.

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