Monitoring the State Space Models for Exponential Smoothing with a Tracking Signal

以追蹤信號監控狀態空間模型之指數平滑法

陳維寧(Wei-Ning Chen)

《工業工程學刊》 25卷3期 (2008/05) Pp. 256-260

https://doi.org/10.29977/JCIIE.200805.0008

摘要

爲補全預測方法察覺未適應結構變化之情況，常見做法包括以簡單指數平滑法配合某種監視機制。在本文中，我們建議用以共通的監控統計數值，展開簡單平滑指數方程式，以取得在無人爲干涉之下，可自動適應結構變化之方法。結果顯示，所產生的方程式，符合減幅趨向校正的指數平滑法。以相似的方式，當漂移指數平滑法增添相同的監控統計數值，其方程式將區分出趨勢之長期與短期影響要素。

關鍵字

預測 ； 指數平滑法 ； 追蹤信號

並列摘要

It is a common practice to complement a forecasting method such as simple exponential smoothing with a monitoring scheme to detect those situations where forecasts have failed to adapt to structural change. In this paper, we suggest that the equations for simple exponential smoothing can be expanded by a common monitoring statistic to provide a method that automatically adapts to structural change without human intervention. It is shown that the resulting equations conform to those of damped trend corrected exponential smoothing. In a similar manner, exponential smoothing with drift, when augmented by the same monitoring statistic, produces equations that split the trend into long term and short term components.

並列關鍵字

forecasting ； exponential smoothing ； tracking signal

參考文獻

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