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

页码：90 / 96

页数：7

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