Generalized adaptive exponential smoothing procedures

DOI10.2307/3215147MaRDI QIDQ4322021zbMATH OpenOpenAlexFDO

Authors Ulrich Herkenrath

Publication date 9 February 1995

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3215147

zbMATH Keywords

adaptive smoothingexponential smoothing procedureMarkov chainsrandom systems with complete connections

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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• scientific article; zbMATH DE number 5081611 (Why is no real title available?)
• A DESIGN OF ADAPTIVE EXPONENTIAL SMOOTHING USING A CHANGE DETECTION STATISTIC
• A comparison of the ordinary and a varying parameter exponential smoothing
• On the uniform ergodicity of Markov processes of order 2
• Generalized adaptive exponential smoothing of observations from an ergodic hidden Markov model
• Age sequence recursive models for long time evaluation problems
• Models associated with extended exponential smoothing
• Recurrence matrix formulation of associated weights in double exponential smoothing and its effect in the memory of the linear homoscedastic signals

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