Abstract
Abstract From the prediction point of view (1.1)–(1.2) is one representative of those models that lead to exponentially smoothed forecasts. The Box–Jenkins approach provides another viewpoint. It is easily seen that (1.1)–(1.2) belongs to the subfamily of the integrated moving average (IMA)(1, 1) processes (see Box and Jenkins 1976, pp. 119–120).
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