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Generalized adaptive exponential smoothing procedures

Published online by Cambridge University Press:  14 July 2016

Ulrich Herkenrath
Ulrich Herkenrath*
Affiliation:
University of Duisburg
*
∗ Postal address: Fachbereich 11 Mathematik, Universität Duisburg, Postfach 10 15 03, D-47048 Duisburg, Germany.
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Abstract

The classical exponential smoothing procedure to be applied to a sequence of observations is modified into some adaptive variants and also generalized to the recursive scheme

This means that given the history of observations and smoothed values up to time n, the updated smoothed value Wn + 1 is given by a function u of Wn and Xn , which satisfies only certain structural properties. We study these procedures within the framework of random systems with complete connections and exploit results from Markov process theory to study the sequence . A broad class of ‘smoothing functions' u, which induce sequences with nice statistical properties, is presented. A method to estimate the limit of the expected smoothed values is also developed.,

Keywords

ADAPTIVE SMOOTHINGEXPONENTIAL SMOOTHINGRANDOM SYSTEMS WITH COMPLETE CONNECTIONSMARKOV CHAINS

Information

Type
Research Papers
Information
Journal of Applied Probability , Volume 31 , Issue 3 , September 1994, pp. 673 - 690
Copyright
Copyright © Applied Probability Trust 1994 

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