In:
Journal of Applied Probability, Cambridge University Press (CUP), Vol. 31, No. 03 ( 1994-09), p. 673-690
Abstract:
The classical exponential smoothing procedure to be applied to a sequence of observations is modified into some adaptive variants and also generalized to the recursive scheme This means that given the history of observations and smoothed values up to time n , the updated smoothed value W n + 1 is given by a function u of W n and X n , which satisfies only certain structural properties. We study these procedures within the framework of random systems with complete connections and exploit results from Markov process theory to study the sequence . A broad class of ‘smoothing functions' u , which induce sequences with nice statistical properties, is presented. A method to estimate the limit of the expected smoothed values is also developed.,
Type of Medium:
Online Resource
ISSN:
0021-9002
,
1475-6072
DOI:
10.1017/S0021900200045253
Language:
English
Publisher:
Cambridge University Press (CUP)
Publication Date:
1994
detail.hit.zdb_id:
1474599-9
detail.hit.zdb_id:
219147-7
SSG:
3,2
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