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1. The time series Xt is generated by the ARIMA (1,1,2) model

(1-0.60B)(1-B)Xt= (1 - 0.86B + 0.30Bsquared)at

Where B is the back-shift operator, and at is white noise. Is there an exponential smoothing algorithm that generates the same forecasts as this model? If so, write down the recurrence form of that algorithm.

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Solution Summary

The solution determines if there is an exponential smoothing algorithm that generates the same forecasts as the model shown.

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