ADAPTIVE FILTERING: AN INTEGRATED AUTOREGRESSIVE/MOVING AVERAGE FILTER FOR TIME SERIES FORECASTING.

Spyros Makridakis, Steven C. Wheelwright

    Research output: Contribution to journalArticlepeer-review

    38 Citations (Scopus)

    Abstract

    This paper extends the applicability of a heuristic filtering technique, adaptive filtering, by dealing with a number of practical considerations in time series forecasting. These are problems that have been raised by other researchers examining this technique and by practitioners using it for time series analysis. These modifications make adaptive filtering much more comparable to the Box-Jenkins methodology for autoregressive/moving average processes. A specific application of adaptive filtering is provided.

    Original languageEnglish
    Pages (from-to)425-437
    Number of pages13
    JournalOperational Research Quarterly
    Volume28
    Issue number2
    DOIs
    Publication statusPublished - 1 Jan 1977

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