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Full-Text Articles in Physical Sciences and Mathematics
A Dynamic-Trend Exponential Smoothing Model, Don Miller, Dan Williams
A Dynamic-Trend Exponential Smoothing Model, Don Miller, Dan Williams
Publications and Research
Forecasters often encounter situations in which the local pattern of a time series is not expected to persist over the forecasting horizon. Since exponential smoothing models emphasize recent behavior, their forecasts may not be appropriate over longer horizons. In this paper, we develop a new model in which the local trend line projected by exponential smoothing converges asymptotically to an assumed future long-run trend line, which might be an extension of a historical long-run trend line. The rapidity of convergence is governed by a parameter. A familiar example is an economic series exhibiting persistent long-run trend with cyclic variation. This …
Level Adjusted Exponential Smoothing: A Method For Judgmentally Adjusting Exponential Smoothing Models For Planned Discontinuities, Dan Williams, Don Miller
Level Adjusted Exponential Smoothing: A Method For Judgmentally Adjusting Exponential Smoothing Models For Planned Discontinuities, Dan Williams, Don Miller
Publications and Research
Forecasters often make judgmental adjustments to exponential smoothing forecasts to account for the effects of a future planned change. While this approach may produce sound initial forecasts, it can result in diminished accuracy for forecast updates. A proposed technique lets the forecaster include policy change adjustments within an exponential smoothing model. For 20 real data series representing Virginia Medicaid expenses, initial forecasts and forecast updates are developed using the proposed technique and several alternatives, and they are updated through various simulated level shifts. The proposed technique was more accurate than the alternatives in updating forecasts when a shift in level …