Censored Data Forecasting: Applying Tobit Exponential Smoothing with Time Aggregation
删失数据预测:结合时间聚合的 Tobit 指数平滑
This study introduces a novel approach to forecasting by Tobit Exponential Smoothing with time aggregation constraints. This model, a particular case of the Tobit Innovations State Space system, handles censored observed time series effectively, such as sales data, with known and potentially variable censoring levels over time. The paper provides a comprehensive analysis of the model structure, including its representation in system equations and the optimal recursive…