Monitoring an Exponential Smoothing Forecasting System

The first part of this paper is concerned with the variance of the smoothed error when the forecasting system being used is exponential smoothing. The expression derived for this variance involves the variance of the noise, the smoothing constant and a sum of squared binomial coefficients. It is also shown that the variance of the sum of errors equals the variance of the smoothed error for one less degree of freedom divided by the square of the smoothing constant.