题名

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

并列篇名

以追蹤信號監控狀態空間模型之指數平滑法

DOI

10.29977/JCIIE.200805.0008

作者

陳維寧(Wei-Ning Chen)

关键词

預測 ； 指數平滑法 ； 追蹤信號 ； forecasting ； exponential smoothing ； tracking signal

期刊名称

工業工程學刊

卷期/出版年月

25卷3期（2008 / 05 / 01）

页次

256 - 260

内容语文

英文
中文摘要

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。
英文摘要

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.
主题分类 工程學 > 工程學總論
参考文献
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