• Rob J. Hyndman
  • Anne B. Koehler
  • J. Keith Ord
  • Ralph D. Snyder
Forecasting with Exponential Smoothing
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The State Space Approach

Errata

This is the list of all errors that we know about. If you think you've spotted a new one, please let us know!


p15
In the heading for section 2.3.3, "Ad,A" should read "Ad,N"
p47
The discount matrix for the damped local level model is $D=\phi(1-\alpha)$ and the model is stable provided $|\phi(1-\alpha)|<1$, or equivalently $|\phi|<1$ and $0 < \alpha < 2$.
p51
Exercise 3.2. Change "stable" to "forecastable".

Exercise 3.3. The variance should be $\sigma^2(1+(t-1)\alpha^2)$.
p55
The third equation should have a plus sign:
$$\mathbf{x}_t = \mathbf{D}(\mathbf{x}_{t-1}) + \mathbf{g}(\mathbf{x}_{t-1})\frac{y_t}{r(\mathbf{x}_{t-1})}.$$
The following equation also needs a similar correction.
p76, line4-
Replace "Classes 1-4" with "Classes 1-5"
p85
For the ETS(M,Ad,M) model, $\mathbf{w}_1 = [1 ~ \phi]'$ and the matrix $\mathbf{G}_1 = \left[\begin{array}{ll}
\alpha & \alpha\phi \\ \beta & \beta\phi\end{array}\right]$.
p90
last line: the last term should be just $\varepsilon_{n+j}$ not $\varepsilon q_{n+j}$
p102
For the ETS(M,Ad,M) model, $\mathbf{w}_1 = [1 ~ \phi]'$ and the matrix $\mathbf{G}_1 = \left[\begin{array}{ll}
\alpha & \alpha\phi \\ \beta & \beta\phi\end{array}\right]$.
p108: heading 7.2.1
Change "Section" to "Selection".
p109: line 1
$\hat{y}_{i,n_j}^{(i,j)}$ should be $\hat{y}_{n_j}^{(i,j)}$
p118: line 4
delete first "is"
p150
In the ETS(A,Ad,N) model, $\mathbf{w} = [1 ~ \phi]'$ and $\mathbf{F} = \left[\begin{array}{ll}
1 & \phi \\
0 & \phi
\end{array}\right]$. Similarly, in the ETS(A,Ad,A) model, the second element of $\mathbf{w}$ should be $\phi$ and the second element of the top row of $\mathbf{F}$ should be $\phi$.
p154
In the ETS(A,Ad,N) model, the second column of $\mathbf{D}$ should contain $\phi(1-\alpha)$ and $\phi(1-\beta)$. Similarly, in the ETS(A,Ad,A) model, the first two elements of the second column of $\mathbf{D}$ should be $\phi(1-\alpha)$ and $\phi(1-\beta)$.
p155
In Table 10.1, the parameter range for $\phi$ should be $-1<\phi\le1$.
p158
Last sentence: the second element of $\mathbf{w}$ should be $\phi$ and the second element of the top row of $\mathbf{F}$ should be $\phi$.
p159
The first two elements of the second column of $\mathbf{D}$ should be $\phi(1-\alpha)$ and $\phi(1-\beta)$.
p280: line 10
Change "finite" to "non-zero".