Geodesic
Seasonal time series with missing observations
Applications of Mathematics, Tome 41 (1996) no. 1, pp. 41-55
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Popular exponential smoothing methods dealt originally only with equally spaced observations. When time series contains gaps, smoothing constants have to be adjusted. Cipra et al., following Wright’s approach of irregularly spaced observations, have suggested ad hoc modification of smoothing constants for the Holt-Winters smoothing method. In this article the fact that the underlying model of the Holt-Winters method is a certain seasonal ARIMA is used. Minimum mean square error smoothing constants are derived and compared with those of Cipra.
Popular exponential smoothing methods dealt originally only with equally spaced observations. When time series contains gaps, smoothing constants have to be adjusted. Cipra et al., following Wright’s approach of irregularly spaced observations, have suggested ad hoc modification of smoothing constants for the Holt-Winters smoothing method. In this article the fact that the underlying model of the Holt-Winters method is a certain seasonal ARIMA is used. Minimum mean square error smoothing constants are derived and compared with those of Cipra.
DOI : 10.21136/AM.1996.134312
Classification : 62M10, 62M20, 90A20, 91B84, 93E14
Keywords: Holt-Winters method; missing observations; seasonal ARIMA model 
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Ratinger, Tomáš. Seasonal time series with missing observations. Applications of Mathematics, Tome 41 (1996) no. 1, pp. 41-55. doi: 10.21136/AM.1996.134312

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