A step-by-step summary of an empirical time series analysis of the effects of a newly constructed dam on river flow rate is given. A model of river flow rate for the 522 weeks of data is built through the transfer function/intervention model development processes of Box-Jenkins/Box-Tiao....

A stochastic filtering method is presented for on-line recursive estimation and forecasting of autocorrelated time series. Several state space models for nonseasonal and seasonal time series, which belong to the autoregressive integrated-moving average class, are presented. The Kalman filter is...

This paper introduces a class of multiple exponential smoothing models useful in automated or minimal intervention industrial forecasting systems. These models are an alternative to simple univariate exponential smoothing and Trigg and Leach type adaptive models, which treat time series as...

In this paper we apply the strategy of trend-damping to the popular Winters exponential smoothing systems for seasonal time series. Efficient model formulations are derived for both multiplicative and additive seasonal patterns. An algorithm is given to test the stability of the models in cases...

This paper is concerned with the formulation of short-term forecasting models, and introduces a range of models of considerable importance. These are defined in terms of predictions and sensible updating mechanisms for estimates of quantities such as level, growth, and seasonality, and...

Most time series methods assume that any trend will continue unabated, regardless of the forecast lead time. But recent empirical findings suggest that forecast accuracy can be improved by either damping or ignoring altogether trends which have a low probability of persistence. This paper...

In this paper we present data concerning the accuracy of firm's forecasts of engineering employment and suggest a simple model that may be of use in improving their accuracy. The results, which pertain to 54 firms in the aerospace, electronics, chemical, and oil industries, should be of use to...

This Note establishes two linkages between adaptive estimation procedures used in the analysis and forecasting of multivariate time series and the simple Brown smoothing technique. First, for a simple model it is shown that AEP and LMS are identical to the Brown technique. Thus they are accorded...