The relationship between the Beveridge-Nelson decomposition and exponential smoothing

DOI10.1007/978-3-319-28725-6_4MaRDI QIDQ5280123zbMATHOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 43706 (Why is no real title available?)
• scientific article; zbMATH DE number 193126 (Why is no real title available?)
• 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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