The problem of constructing prediction intervals for linear time series (ARIMA) models is examined. The aim is to find prediction intervals which incorporate an allowance for sampling error associated with parameter estimates. The effect of constraints on parameters arising from stationary and...

A parsimonious method of exponential smoothing is introduced for time series generated from a combination of local trends and local seasonal effects. It is compared with the additive version of the Holt-Winters method of forecasting on a standard collection of real time series.