Why the damped trend works

E.S. Gardner Jr, E. McKenzie

Research output: Contribution to journalArticle

17 Citations (Scopus)

Abstract

The damped trend method of exponential smoothing is a benchmark that has been difficult to beat in empirical studies of forecast accuracy. One explanation for this success is the flexibility of the method, which contains a variety of special cases that are automatically selected during the fitting process. That is, when the method is fitted, the optimal parameters usually define a special case rather than the method itself. For example, in the M3-competition time series, the parameters defined the damped trend method only about 43% of the time using local initial values for the method components. In the remaining series, a special case was selected, ranging from a random walk to a deterministic trend. The most common special case was a new method, simple exponential smoothing with a damped drift term.
Original languageEnglish
Pages (from-to)1177-1180
Number of pages4
JournalJournal of the Operational Research Society
Volume62
Early online date14 Apr 2010
DOIs
Publication statusPublished - 2011

Keywords

  • forecasting
  • time series
  • exponential smoothing

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