The Relationship Between the Beveridge–Nelson Decomposition and Exponential Smoothing

DOI10.1007/978-3-319-28725-6_4zbMath1366.62164OpenAlexW2189207942MaRDI QIDQ5280123

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

exponential smoothingBeveridge-Nelson decompositionARIMA modelselectrical engineeringinnovations form

Mathematics Subject Classification ID

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

Cites Work

• Markovian representation of stochastic processes and its application to the analysis of autoregressive moving average processes
• Forecasting Time Series With Complex Seasonal Patterns Using Exponential Smoothing
• The Beveridge-Nelson Decomposition: A Different Perspective with New Results
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