Solved – Exponential smoothing state space model – stationary required

Question

I came across with the Exponential smoothing state space model for time series forecasting. My question is if it does require that the time series is stationary?

Is there any paper that explicitly meantions this? Thanks.

Answer 1

I highly recommend that you read Rob Hyndman's free online text, Forecasting: principles and practice.

More specifically, a reference that will be helpful to your specific question is discussed on this page of the text. As you can see, exponential smoothing models are non-stationary in nature, whereas ARIMA models can be stationary.

Additionally, the author of the text addressed a similar question in an older post on this website, which can be found here. Rob states that "Using an exponential smoothing method on stationary data is not wrong but is sub-optimal."