Bayesian Exponential Smoothing.

Preprint OPEN
Forbes, C.S.; Snyder, R.D.; Shami, R.S.;
  • Subject: Time series analysis, forecasting, structural model, local level model, prediction interval.
    • jel: jel:C11 | jel:C22 | jel:C51

In this paper, a Bayesian version of the exponential smoothing method of forecasting is proposed. The approach is based on a state space model containing only a single source of error for each time interval. This model allows us to improve current practices surrounding ... View more
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