A General Class of Holt-Winters Type Forecasting Models

Publisher Website
Google Scholar
Abstract
This paper is concerned with the formulation of short-term forecasting models, and introduces a range of models of considerable importance. These are defined in terms of predictions and sensible updating mechanisms for estimates of quantities such as level, growth, and seasonality, and constitute generalizations of familiar (linear) exponential smoothing predictors. They are shown to be equivalent to particular ARIMA models, and generally these do not lie within that subset of the ARIMA class which forms the basis of the Box-Jenkins modelling approach. It is argued that the models of this paper have a reasoned structure, and are to be preferred to the Box-Jenkins models for most socio-economic applications.

This publication has 0 references indexed in Scilit: