Submitted manuscript, 2.23 MB, PDF document
Research output: Working paper
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TY - UNPB
T1 - Complex exponential smoothing
AU - Svetunkov, Ivan
AU - Kourentzes, Nikos
PY - 2016/1/2
Y1 - 2016/1/2
N2 - Exponential smoothing has been one of the most popular forecasting methods for business and industry. Its simplicity and transparency have made it very attractive. Nonetheless, modelling and identifying trends has been met with mixed success, resulting in the development of different modifications of trend models. We present a new approach to time series modelling, using the notion of "information potential" and the theory of functions of complex variables. A new exponential smoothing method that uses this approach is proposed, the "Complex exponential smoothing" (CES). It has an underlying statistical model described in the paper and has several advantages in comparison with the customary exponential smoothing models, that allow CES to model and forecast effectively both trended and level time series, effectively overcoming the model selection problem.
AB - Exponential smoothing has been one of the most popular forecasting methods for business and industry. Its simplicity and transparency have made it very attractive. Nonetheless, modelling and identifying trends has been met with mixed success, resulting in the development of different modifications of trend models. We present a new approach to time series modelling, using the notion of "information potential" and the theory of functions of complex variables. A new exponential smoothing method that uses this approach is proposed, the "Complex exponential smoothing" (CES). It has an underlying statistical model described in the paper and has several advantages in comparison with the customary exponential smoothing models, that allow CES to model and forecast effectively both trended and level time series, effectively overcoming the model selection problem.
KW - Forecasting
KW - exponential smoothing
KW - ETS
KW - model selection
KW - information potential
KW - complex variables
M3 - Working paper
VL - 2015:1
SP - 1
EP - 31
BT - Complex exponential smoothing
PB - Lancaster University Management School
CY - Lancaster
ER -