10.4225/03/5938c469ba3d6
Snyder, Ralph D.
Ralph D.
Snyder
Grose, Simone
Simone
Grose
Business forecasting with exponential smoothing: computation of prediction intervals
Monash University
2017
Forecasting
Bootstrap method
1996
Prediction intervals
Exponential smoothing
monash:6921
1959.1/36059
2017-06-08 03:28:40
Journal contribution
https://bridges.monash.edu/articles/journal_contribution/Business_forecasting_with_exponential_smoothing_computation_of_prediction_intervals/5090737
The problem considered in this paper is how to find reliable prediction intervals with simple exponential smoothing and trend corrected exponential smoothing. Methods for constructing prediction intervals based on linear approximation and bootstrapping are proposed. A Monte Carlo simulation study, in which the proposed methods are compared, indicates that the most reliable intervals can be obtained with a parametric form of the bootstrap method. An application of the method to predicting Malaysian GNP per capita is considered.