ON TREND ESTIMATION OF TIME-SERIES - A SIMPLE LINEAR-PROGRAMMING APPROACH

Authors
MOSHEIOV G RAVEH A
Citation
G. Mosheiov et A. Raveh, ON TREND ESTIMATION OF TIME-SERIES - A SIMPLE LINEAR-PROGRAMMING APPROACH, The Journal of the Operational Research Society, 48(1), 1997, pp. 90-96
Citations number
15
Categorie Soggetti
Management,"Operatione Research & Management Science","Operatione Research & Management Science
Journal title
The Journal of the Operational Research Society → ACNP
ISSN journal
01605682
Volume
48
Issue
1
Year of publication
1997
Pages
90 - 96
Database
ISI
SICI code
0160-5682(1997)48:1<90:OTEOT->2.0.ZU;2-D
Abstract
This paper presents a simple linear programme for the solution of the trend-estimation problem in time-series. We studied the trade-off betw een two important properties of the trend component: smoothness and fi delity (closeness to the data). The linear programming solution is a m onotone sequence optimizing some (weighted) combination of both proper ties. A single coefficient in the objective function is user-dependent and represents the user's preference with respect to the two properti es. The method is illustrated on several empirical series.