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Chapter 4 Conventional Exponential Smoothing

Now that we know how time series can be decomposed into components, we can discuss the exponential smoothing methods, focusing on the most popular ones. We do not go into many details of how the methods were originally derived and how to work with them. Instead, we focus on their connection with ETS and then on the main ideas behind the conventional ETS.

The reader interested in the topic of the history of exponential smoothing, how it was developed and what papers contributed towards the development of the field, can refer to the reviews of Gardner (1985) and Gardner (2006). They summarise all the progress in the area of exponential smoothing up until 1985 and until 2006 respectively.

References

• Gardner, E.S., 2006. Exponential smoothing: The state of the art-Part II. International Journal of Forecasting. 22, 637–666. https://doi.org/10.1016/j.ijforecast.2006.03.005
• Gardner, E.S., 1985. Exponential smoothing: The state of the art. Journal of Forecasting. 4, 1–28. https://doi.org/10.1002/for.3980040103