by Isaic Maniu, Alexandru
and Voda, Viorel Gh.
Published in Romanian Journal of Economic Forecasting,
2010, volume 13 issue 1, 70-80
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In this paper we propose a prediction model based on time series involving EWMA
type approach. After a brief historical sketch and a short presentation of the GLM -
General Linear Model we construct the predictor which is an average exponentially
weighted depending on previous and current values of the series.
The last paragraph is dedicated to an analogy with SPC - Statistical Process Control
and possible applications are emphasized. Open theoretical problems are discussed
also.
Keywords:
time series, EWMA, GLM, SPC, predictor white noise, correction factor
JEL Classification:
C32, C53