The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Estimation and Prediction for a Class of Dynamic Nonlinear Statistical Models
Open accessAbstract
A class of nonlinear state-space models, characterized by a single source of randomness, is introduced. A special case, the model underpinning the multiplicative Holt-Winters method of forecasting, is identified. Maximum likelihood estimation based on exponential smoothing instead of a Kalman filter, and with the potential to be applied in contexts involving non-Gaussian disturbances, is considered. A method for computing prediction intervals is proposed and evaluated on both simulated and real data.
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Citations
Cites
Forecasting, Structural Time Series Models and the Kalman Filter
Harvey, A. C. (1990) · doi:10.1017/cbo9781107049994 · Cited by 4,195
Cited by
25 years of time series forecasting
De Gooijer, J. G., & Hyndman, R. J. (2006) · International Journal of Forecasting · doi:10.1016/j.ijforecast.2006.01.001 · Cited by 1,587
A state space framework for automatic forecasting using exponential smoothing methods
Hyndman, R. J., Koehler, A. B., Snyder, R. D., & Grose, S. (2002) · International Journal of Forecasting · doi:10.1016/s0169-2070(01)00110-8 · Cited by 1,066
Self-citationForecasting Time Series With Complex Seasonal Patterns Using Exponential Smoothing
De Livera, A. M., Hyndman, R. J., & Snyder, R. D. (2011) · Journal of the American Statistical Association · doi:10.1198/jasa.2011.tm09771 · Cited by 1,049
Self-citationGENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS
Creal, D., Koopman, S. J., & Lucas, A. (2013) · Journal of Applied Econometrics · doi:10.1002/jae.1279 · Cited by 981
de Oliveira, E. M., & Cyrino Oliveira, F. L. (2018) · Energy · doi:10.1016/j.energy.2017.12.049 · Cited by 425
Metadata
- Authors
- Ord, J. K., Koehler, A. B., & Snyder, R. D.
- Venue
- Journal of the American Statistical Association
- Publisher
- Informa UK Limited
- Published
- 1997-12
- Volume
- 92
- Issue
- 440
- Pages
- 1621-1629
- ISSN
- 0162-1459 (ISSN-L)
- 1537-274X
- OpenAlex
- W2070382733
- Cited by
- 228
- References
- 1
- FWCI
- 0.48
- Type
- journal article
- Language
- en
- Open access
- bronze
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- Ord, J. K., Koehler, A. B., & Snyder, R. D. (1997). Estimation and Prediction for a Class of Dynamic Nonlinear Statistical Models. Journal of the American Statistical Association. https://doi.org/10.1080/01621459.1997.10473684
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
