fundamental theorem of exponential smoothing; missing observations; interpolation procedure; multivariate time series; time series
The paper deals with some practical problems connected with the classical exponential smoothing in time series. The fundamental theorem of the exponential smoothing is extended to the case with missing observations and an interpolation procedure in the framework of the exponential smoothing is described. A simple method of the exponential smoothing for multivariate time series is suggested.
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| MR 0676229
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