A Novel Theoretical Framework for Exponential Smoothing

arXiv:2403.04345v1 Announce Type: cross
Abstract: Simple Exponential Smoothing is a classical technique used for smoothing time series data by assigning exponentially decreasing weights to past observations through a recursive equation; it is sometimes presented as a rule of thumb procedure. We introduce a novel theoretical perspective where the recursive equation that defines simple exponential smoothing occurs naturally as a stochastic gradient ascent scheme to optimize a sequence of Gaussian log-likelihood functions. Under this lens of analysis, our main theorem shows …

abstract arxiv data equation framework math.pr novel perspective recursive series simple stat.me stat.ml through time series type