(c) Show that Holt's method (Section 4/3/3) can be written in the following error feedback form: Lt...
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(c) Show that Holt's method (Section 4/3/3) can be written in the following \error feedback form":
Lt = Lt¡1 + bt¡1 + ®et bt = bt¡1 + ¯®et where et = Yt¡Lt¡1¡bt¡1. Use this result to ¯nd a state space form of Holt's method with state vector containing Lt and bt.
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Related Book For
Forecasting Methods And Applications
ISBN: 9780471532330
3rd Edition
Authors: Spyros G. Makridakis, Steven C. Wheelwright, Rob J Hyndman
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