Adaptive filtering is a technique for preparing short- to medium-term forecasts based on weighting of historical observations, in a similar way to moving average and exponential smoothing. However, adaptive filtering, as it has been developed in electrical engineering, attempts to distinguish a signal pattern from random noise, rather than simply smoothing th noise of past data. This paper reviews the technique of adaptive filtering and investigates its applications and limitations for the forecasting practitioner. This is done by looking at the performance of adaptive filtering in forecasting a number of time series and by comparing it with other forecasting techniques.
|Number of pages||10|
|Journal||Operational Research Quarterly|
|Publication status||Published - 1 Jan 1973|