Practical Time-Series Analysis

Modeling higher-order exponential smoothing

The concept can be further extended to higher-order exponential smoothing with an n^th order polynomial model:

Here, error ε_t ∼ N(0,σ²) is normally distributed with 0 mean and σ^₂ variance. The exponential smoothers used for higher order are as follows:

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Here, is weights for smoothers. Usually, higher-order ...