The relationship between the Beveridge-Nelson decomposition and exponential smoothing

DOI10.1007/978-3-319-28725-6_4zbMATH Open1366.62164OpenAlexW2189207942MaRDI QIDQ5280123FDOQ5280123

Authors: Víctor Gómez 

Publication date: 20 July 2017

Published in: Time Series Analysis and Forecasting (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-28725-6_4

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zbMATH Keywords

ARIMA modelsBeveridge-Nelson decompositionexponential smoothingelectrical engineeringinnovations form

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Applications of statistics in engineering and industry; control charts (62P30)

Cites Work

• Title not available (Why is that?)
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• Forecasting time series with complex seasonal patterns using exponential smoothing
• Markovian representation of stochastic processes and its application to the analysis of autoregressive moving average processes
• The Beveridge-Nelson Decomposition: A Different Perspective with New Results

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