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Chapter 5 Conventional Exponential Smoothing

In this chapter, we discuss the most popular exponential smoothing methods and their connection with the ETS model. 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 summmarise all the progress in the area of exponential smoothing up until 1985 and then until 2006.

References

Gardner, Everette S. 1985. “Exponential smoothing: The state of the art.” Journal of Forecasting 4 (1): 1–28. doi:10.1002/for.3980040103.

Gardner, Everette S. 2006. “Exponential smoothing: The state of the art-Part II.” International Journal of Forecasting 22 (4): 637–66. doi:10.1016/j.ijforecast.2006.03.005.