Note: Rule-Based Forecasting vs. Damped-Trend Exponential Smoothing

This paper evaluates the ex ante performance of rule-based time series forecasting systems proposed in earlier research. The author shows that comparable performance can be obtained with a simpler alternative, a damped-trend version of exponential smoothing fitted to minimize the Mean-Absolute-Devia...

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Published in:Management science 1999-08, Vol.45 (8), p.1169-1176
Main Author: Gardner, Everette S
Format: Article
Language:English
Subjects:
Average
combining forecasts
Comparative analysis
Economic forecasts
Expert systems
exponential smoothing
extrapolation
Forecasting
Forecasts
judgment
Mathematical models
Mathematics
Operations research
rule-based forecasting
Statistical analysis
Studies
Time series
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creator Gardner, Everette S
description This paper evaluates the ex ante performance of rule-based time series forecasting systems proposed in earlier research. The author shows that comparable performance can be obtained with a simpler alternative, a damped-trend version of exponential smoothing fitted to minimize the Mean-Absolute-Deviation (MAD) criterion. The results suggest that the performance of rule-based systems would be improved through this alternative and that time series forecasters should consider MAD fits in model development.
doi_str_mv 10.1287/mnsc.45.8.1169
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source International Bibliography of the Social Sciences (IBSS); Business Source Ultimate; Informs PubsOnline; ABI/INFORM Archive; JSTOR Archival Journals and Primary Sources Collection; ABI/INFORM Global
subjects Average
combining forecasts
Comparative analysis
Economic forecasts
Expert systems
exponential smoothing
extrapolation
Forecasting
Forecasts
judgment
Mathematical models
Mathematics
Operations research
rule-based forecasting
Statistical analysis
Studies
Time series
title Note: Rule-Based Forecasting vs. Damped-Trend Exponential Smoothing
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