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  • https://doi.org/10.1080/01621459.1997.10473684Copy DOI Icon

Estimation and Prediction for a Class of Dynamic Nonlinear Statistical Models

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Abstract

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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