Why the damped trend works

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Presentation transcript:

Why the damped trend works Everette S. Gardner, Jr.

Why the damped trend works The empirical performance of the damped trend is due to its flexibility Optimal parameters are often found at the boundaries of the usual [0, 1] interval. Such parameters define numerous special cases: Three versions of SES - no drift, fixed drift, and damped drift Three versions of the random walk - no drift, fixed drift, and damped drift Holt’s method Various ARIMA models Deterministic trends

The damped trend method

Special cases of the damped trend

Special cases of the damped trend found in the M3 competition series Proportion of series