Rule-based forecasting vs. damped-trend exponential smoothing

Rule-based forecasting vs. damped-trend exponential smoothing

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Article ID: iaor20003241
Country: United States
Volume: 45
Issue: 8
Start Page Number: 1169
End Page Number: 1176
Publication Date: Aug 1999
Journal: Management Science
Authors:
Abstract:

This paper evaluates the ex ante performance of rule-based time series forecasting systems proposed in earlier research. The author shows that comparable performance can be obtained with a simpler alternative, a damped-trend version of exponential smoothing fitted to minimize the Mean-Absolute-Deviation (MAD) criterion. The results suggest that the performance of rule-based systems would be improved through this alternative and that time series forecasters should consider MAD fits in model development.

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