Abstract
This paper presents a simple linear programme for the solution of the trend-estimation problem in time-series. We studied the trade-off between two important properties of the trend component: smoothness and fidelity (closeness to the data). The linear programming solution is a monotone sequence optimizing some (weighted) combination of both properties. A single coefficient in the objective function is user-dependent and represents the user’s preference with respect to the two properties. The method is illustrated on several empirical series.
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Mosheiov, G., Raveh, A. On trend estimation of time-series: a simple linear programming approach. J Oper Res Soc 48, 90–96 (1997). https://doi.org/10.1057/palgrave.jors.2600328
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DOI: https://doi.org/10.1057/palgrave.jors.2600328