Forecasting with Exponential Smoothing

The State Space Approach

ISBN: 978-3-540-71916-8 (Print) 978-3-540-71918-2 (Online)

Table of contents (20 chapters)

  1. Front Matter

    Pages I-XIII

  2. Introduction

    1. No Access

      Chapter

      Pages 3-7

      Basic Concepts

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      Chapter

      Pages 9-29

      Getting Started

  3. Essentials

    1. No Access

      Chapter

      Pages 33-51

      Linear Innovations State Space Models

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      Chapter

      Pages 53-66

      Nonlinear and Heteroscedastic Innovations State Space Models

    3. No Access

      Chapter

      Pages 67-74

      Estimation of Innovations State Space Models

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      Chapter

      Pages 75-104

      Prediction Distributions and Intervals

    5. No Access

      Chapter

      Pages 105-119

      Selection of Models

  4. Further Topics

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      Chapter

      Pages 123-136

      Normalizing Seasonal Components

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      Chapter

      Pages 137-148

      Models with Regressor Variables

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      Chapter

      Pages 149-161

      Some Properties of Linear Models

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      Chapter

      Pages 163-177

      Reduced Forms and Relationships with ARIMA Models

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      Chapter

      Pages 179-208

      Linear Innovations State Space Models with Random Seed States

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      Chapter

      Pages 209-227

      Conventional State Space Models

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      Chapter

      Pages 229-254

      Time Series with Multiple Seasonal Patterns

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      Chapter

      Pages 255-276

      Nonlinear Models for Positive Data

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      Chapter

      Pages 277-286

      Models for Count Data

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      Chapter

      Pages 287-300

      Vector Exponential Smoothing

  5. Applications

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      Chapter

      Pages 303-315

      Inventory Control Applications

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      Chapter

      Pages 317-324

      Conditional Heteroscedasticity and Applications in Finance

    3. No Access

      Chapter

      Pages 325-337

      Economic Applications: The Beveridge–Nelson Decomposition

  6. Back Matter

    Pages 339-359