Forecasting by exponential smoothing, the Box and Jenkins procedure and spectral analysis. A simulation study

DOI10.1016/0771-050X(80)90017-0zbMath0434.65118OpenAlexW1990356623MaRDI QIDQ1139928

F. Cole

Publication date: 1980

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0771-050x(80)90017-0

zbMATH Keywords

forecastingexponential smoothingsimulation studysign testspectral methodsBox and Jenkins procedurePitman-test

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Numerical smoothing, curve fitting (65D10) Prediction theory (aspects of stochastic processes) (60G25) Probabilistic methods, stochastic differential equations (65C99)

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Uses Software

• AS 83

Cites Work

• A Note on the Generation of Random Normal Deviates
• A Monte Carlo Comparison of the Regression Method and the Spectral Methods of Prediction
• A NOTE ON NORMAL CORRELATION
• On the Asymptotic Efficiency of Certain Nonparametric Two-Sample Tests
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