Comments on Gardner E.S.Jr. Exponential Smoothing: State of the Art – Part II

Taylor, James (2006) Comments on Gardner E.S.Jr. Exponential Smoothing: State of the Art – Part II. International Journal of Forecasting, 22 (4). pp. 671-672.

Abstract

Gardner's 1985 review has been a tremendous help to my research. For many years, I wouldn't leave home without it. I have no doubt that the sequel will also be of lasting use to me, as well as to numerous others, especially those starting out on research in this area. The updated review provides comprehensive coverage of a large and rapidly growing body of literature. A fair number of these papers are rather mathematical, and Gardner has done a sterling job of summarising their essential message and contribution. Comment and opinion is present throughout, which is surely beneficial as it provides us with the perspective of someone who seems to have read pretty much every paper that has ever been written on the subject. I could merrily comment on numerous sections of the paper that I find interesting, but, instead, I have opted to say a few words about the two topics highlighted at the very end of the paper, method selection and empirical validation, and then to describe a couple of finance applications that were touched on only briefly: volatility and quantile forecasting.

Item Type: Article
Keywords: Exponential smoothing; State-space models; Identification; Stability; Invertibility
Subject(s): Management science
Centre: Faculty of Management Science
Date Deposited: 24 Apr 2012 14:57
Last Modified: 23 Oct 2015 14:07
URI: http://eureka.sbs.ox.ac.uk/id/eprint/3402

Actions (login required)

Edit View Edit View