论文信息 - Adaptive Filtering: A Critical Assessment

Adaptive Filtering: A Critical Assessment

A forecasting procedure called adaptive filtering (AF) is reexamined. The theoretical foundations of the method have been questioned by several authors, and further difficulties are discussed here. In addition, the Box-Jenkins airline data are reanalysed and, contrary to the claims of Makridakis and Wheelwright, it is shown that AF does not compare favourably with other forecasting methods. In view of the theoretical and practical difficulties, the routine use of AF in business forecasting is not recommended.

C. Chatfield

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