RESTRICTED FORECASTS USING EXPONENTIAL SMOOTHING TECHNIQUES

A methodology is presented for obtaining optimal forecasts with expone ntial smoothing (ES) techniques when additional information, other tha n the historical record of a time series, is available. Such informati on is usually given as linear restrictions on the future values of the series and may come from: (i) expert judgments, (ii) alternative fore casting methods or (iii) scenarios to be portrayed. Appropriate usage of the additional information improves the forecasts' accuracy and pre cision. Here we provide closed expressions for the restricted forecast s obtained with the most frequently employed ES methods and emphasize the potential usefulness of the proposed methodology in practice.