A comparison of three nonparametric local linear extrapolation methods

Rob Hyndman; Baki Billah; Ivet Pitrun

A comparison of three nonparametric local linear extrapolation methods

Econometrics & Business Statistics

Research output: Contribution to conference › Abstract › peer-review

Abstract

We compare three nonparametric forecast methods: smoothing splines, local linear regression and Holt’s method. Each produces forecasts using local linear extrapolation. We show that smoothing splines and Holt’s method can be derived using state space models. The properties and performance of the three methods are compared.

Original language	English
Pages	92-92
Number of pages	1
Publication status	Published - 2002
Event	International Symposium on Forecasting 2002 - Trinity College Dublin, Dublin, Ireland Duration: 23 Jun 2002 → 26 Jun 2002 Conference number: 22nd https://isf.forecasters.org/pdfs/isf/ISF2002_program.pdf

Conference

Conference	International Symposium on Forecasting 2002
Abbreviated title	ISF 2002
Country/Territory	Ireland
City	Dublin
Period	23/06/02 → 26/06/02
Internet address	https://isf.forecasters.org/pdfs/isf/ISF2002_program.pdf

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286919130Final published version, 22.5 KB

Cite this

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title = "A comparison of three nonparametric local linear extrapolation methods",

abstract = "We compare three nonparametric forecast methods: smoothing splines, local linear regression and Holt{\textquoteright}s method. Each produces forecasts using local linear extrapolation. We show that smoothing splines and Holt{\textquoteright}s method can be derived using state space models. The properties and performance of the three methods are compared.",

author = "Rob Hyndman and Baki Billah and Ivet Pitrun",

year = "2002",

language = "English",

pages = "92--92",

note = "<br/>International Symposium on Forecasting 2002, ISF 2002 ; Conference date: 23-06-2002 Through 26-06-2002",

url = "https://isf.forecasters.org/pdfs/isf/ISF2002_program.pdf",

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AU - Hyndman, Rob

AU - Billah, Baki

AU - Pitrun, Ivet

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N2 - We compare three nonparametric forecast methods: smoothing splines, local linear regression and Holt’s method. Each produces forecasts using local linear extrapolation. We show that smoothing splines and Holt’s method can be derived using state space models. The properties and performance of the three methods are compared.

AB - We compare three nonparametric forecast methods: smoothing splines, local linear regression and Holt’s method. Each produces forecasts using local linear extrapolation. We show that smoothing splines and Holt’s method can be derived using state space models. The properties and performance of the three methods are compared.

M3 - Abstract

SP - 92

EP - 92

T2 - <br/>International Symposium on Forecasting 2002

Y2 - 23 June 2002 through 26 June 2002

ER -