The problem considered in this paper is how to find reliable prediction intervals with simple exponential smoothing and trend corrected exponential smoothing. Methods for constructing prediction intervals based on linear approximation and bootstrapping are proposed.

The focus of this paper is on the relationship between the exponential smoothing methods of forecasting and the integrated autoregressive-moving average models underlying them. In this paper we derive, for the first time, the general linear relationship between their parameters. A method,...