Hyndman R.J., Koehler A.B., Ord J.K., Snyder R.D. Forecasting with Exponential Smoothing. The State Space Approach

Berlin, Heidelberg: Springer-Verlag, 2008, 360 p.
ISBN: 978-3-540-71916-8Exponential smoothing methods have been around since the 1950s, and are still the most popular forecasting methods used in business and industry. However, a modelling framework incorporating stochastic models, likelihood calculation, prediction intervals and procedures for model selection, was not developed until relatively recently. Two key papers were Ord, Koehler and Snyder (JASA, 1997) and Hyndman, Koehler, Snyder and Grose (IJF, 2002) although there have been many others filling in some of the details.As a result, the area of exponential smoothing has undergone a substantial revolution in the past ten years. The new "state space framework" for exponential smoothing is discussed in numerous journal articles but there has been no systematic explanation and development of the ideas. Furthermore, the notation used in the journal articles tends to change from paper to paper. Consequently, researchers and practitioners struggle to use the new models in applications.In this book we try to bring together all of the important results in a coherent manner with consistent notation. We have written it for people wanting to apply the methods in their own area of interest as well as for researchers wanting to take the ideas in new directions.The readership is assumed to have a statistical background at about honours level in the UK/Australian/NZ system and Masters level in the US system.