Why and How Does Exponential Smoothing Fail? An In Depth Comparison of ATA-Simple and Simple Exponential Smoothing.
Journal Title: Turkish Journal of Forecasting - Year 2017, Vol 1, Issue 1
Abstract
Even though exponential smoothing (ES) is publicized as one of the most successful forecasting methods in the time series literature and it is widely used in practice due to its simplicity, its accuracy can be affected by the initialization and optimization procedures followed. It also suffers from some fundamental problems that can be seen clearly when its weighting scheme is studied closely. Exponential smoothing fails to account for the amount of data points that can contribute to the forecast when assigning weights to historical data. ATA smoothing has been proposed as an alternative forecasting method and is shown to perform better than ES when the accuracies are compared on empirical data. In this paper, the properties of ATA that make it stand out from ES models will be discussed by just comparing the simple versions of both models Empirical performance of the two simple models will also be compared based on popular error metrics.
Authors and Affiliations
Guckan Yapar, Idil Yavuz, Hanife Taylan Selamlar
Keywords
Related Articles
- EP ID EP299807
- DOI -
- Views 109
- Downloads 0
Stock Market Prediction Using Nonparametric Fuzzy and Parametric GARCH Methods
Prediction of stock market value is one the most complicated issue during the past decades. Due to its importance, in this research, we consider the prediction of stock values based on non-parametric and parametric metho...
Forecasting of Apricot Production of Turkey by Using Box-Jenkins Method
Turkey is the first largest apricot producer in the world. In 2016, Turkey was responsible for 9,21% of world apricot production with 730 thousand tons. Turkey also generated 11,31% of world apricot exports in 2016. The...
A Comparison of Support Vector Regression and Multivariable Grey Model for Short-Term Wind Speed Forecasting
Wind energy is one of the most promising resources of energy for the future. Wind is generally regarded as the most renewable and green energy type. The reason for this perception is mainly because of wind’s inexhaustibl...
A New Journal for Forecasting Research
The Turkish Journal of Forecasting (TJF) is an open access international journal and it is published semi-annually. The aim of the TJF is to procure a platform to integrate the research subjects and fields, and to bridge...
Why and How Does Exponential Smoothing Fail? An In Depth Comparison of ATA-Simple and Simple Exponential Smoothing.
Even though exponential smoothing (ES) is publicized as one of the most successful forecasting methods in the time series literature and it is widely used in practice due to its simplicity, its accuracy can be affected b...