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16th Australian Statistical Conference
July 7-11, 2002
National Convention Centre
Canberra, ACT, Australia

Organizers
Statistical Society of Australia Incorporated, Michael Adena - Chair Organising Committee, Kerrie Mengersen - Chair Program Committee

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A comparison of three nonparametric local linear extrapolation methods
by
Rob Hyndman
Monash University
Coauthors: Baki Billah (Monash University), Ivet Pitrun (Monash University)

We compare three nonparametric forecast methods: smoothing splines, local linear regression and Holt's method. Each produces forecasts using local linear extrapolation. We show that smoothing splines and Holt's method can be derived using state space models. The properties and performance of the three methods are compared.

Date received: March 6, 2002

Copyright © 2002 by the author(s). The author(s) of this document and the organizers of the conference have granted their consent to include this abstract in Atlas Conferences Inc. Document # caij-29.