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- Title
ANALYSIS AND GENERALISATION OF A MULTIVARIATE EXPONENTIAL SMOOTHING MODEL.
- Authors
Harvey, A. C.
- Abstract
The multivariate exponential smoothing model of Enns, Machak, Spivey and Wrobleski is examined and it is found that its structure is such that it can be estimated by using techniques designed for a univariate exponential smoothing model. Similarly forecasts can be made using algorithms for the univariate model. The model can therefore be handled very easily. A more general univariate time series model, which can include polynomial trends and seasonal factors, is then set up and a multivariate generalisation, analogous to the multivariate exponential smoothing model, is introduced. It is shown that this model can also be handled using algorithms designed for the univariate case.
- Subjects
TIME series analysis; MULTIVARIATE analysis; ANALYSIS of variance; ALGORITHMS; FOUNDATIONS of arithmetic; COMPUTER programming; SMOOTHING (Numerical analysis); MANAGEMENT science; MATHEMATICAL models
- Publication
Management Science, 1986, Vol 32, Issue 3, p374
- ISSN
0025-1909
- Publication type
Article
- DOI
10.1287/mnsc.32.3.374