Exponential Smoothing - General Introduction

Exponential smoothing has become very popular as a forecasting method for a wide variety of time series data. Historically, the method was independently developed by Brown and Holt. Brown worked for the US Navy during World War II, where his assignment was to design a tracking system for fire-control information to compute the location of submarines. Later, he applied this technique to the forecasting of demand for spare parts (an inventory control problem). He described those ideas in his 1959 book on inventory control. Holt's research was sponsored by the Office of Naval Research; independently, he developed exponential smoothing models for constant processes, processes with linear trends, and for seasonal data.

The implementation of exponential smoothing methods in STATISTICA follows closely the survey of techniques presented by Gardner (1985), who proposed a "unified" classification of exponential smoothing methods. Excellent introductions can also be found in Makridakis, Wheelwright, and McGee (1983), Makridakis and Wheelwright (1989), Montgomery, Johnson, & Gardiner (1990).

See also, Exploratory Data Analysis and Data Mining Techniques.