On trend estimation of time-series: A simple linear programming approach

被引：0
作者：
Mosheiov, G [1 ]
Raveh, A [1 ]
机构：
[1] HEBREW UNIV JERUSALEM,DEPT STAT,JERUSALEM,ISRAEL
来源：
JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY | 1997年 / 48卷 / 01期
关键词：
linear programming; multiple criteria; time series; trend estimation;
D O I：
暂无
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
This paper presents a simple linear programme for the solution of the trend-estimation problem in time-series. We studied the trade-off between two important properties of the trend component: smoothness and fidelity (closeness to the data). The linear programming solution is a monotone sequence optimizing some (weighted) combination of both properties. A single coefficient in the objective function is user-dependent and represents the user's preference with respect to the two properties. The method is illustrated on several empirical series.
引用
收藏
页码：90 / 96
页数：7
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