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Time series modelling — an integrated approach

Published online by Cambridge University Press:  14 July 2016

Don McNeil
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Abstract

Some inadequacies of both the traditional (exponential smoothing) and Box-Jenkins approaches to time series forecasting of economic data are investigated. An approach is suggested which integrates these two methodologies. It is based on smoothing the data using straight line segments instead of differencing to obtain stationarity, and forecasting using an autoregressive-moving-average model for the residuals from the most recent linear segment. The efficiency of this approach is calculated theoretically using a series comprising integrated white noise.

Keywords

TIME SERIESBOX-JENKINSFORECASTINGEXPONENTIAL SMOOTHINGDIFFERENCING
Type
Part 7 — Time Series
Information
Journal of Applied Probability , Volume 19 , Issue A , 1982 , pp. 413 - 425
Copyright
Copyright © 1982 Applied Probability Trust 

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