Quantitative Consulting has many interesting research publications. Some of them were completed for the company purposes and others were outcomes of the academic research of our employees. Some of the content is accessible only after registration of your email address, rest of the content is downloadable from this site.
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Exponential Smoothing, Bachelor thesis, MFF UK. The thesis deals with two exponential smoothing type methods for non-seasonal time series with local linear trend. The main part of the thesis is a theoretical derivation of MSE and autocorrelation coefficient of forecasting errors when using Holt method with all combinations of smoothing constants and with the time series generated by ARIMA(0, 2, 2) process with all combinations of its parameters. theoretically derived formulae are applied also to Brown method, derived formulae are verified via simulations and tried on real time series. The practical conclusions related to both methods are formulated.
Improved Holt Method for Irregular Time Series. WDS´08 Proceedings of Contributed Papers, Part I, 2008. The paper suggests an improvement of Holt method for irregular time series as it was presented by Wright. The modification deals with problem of time-close observations. Simulation study is provided to compare the performance of the original and improved method.
Irregular Periodic Time Series. Dissertation progress report, speech on a doctoral seminar Stochastic modelling in economics and finance, MFF UK, 2008.
Decomposition Methods for Time Series with Irregular Observations, Diploma thesis MFF UK. This work deals with extensions of classical exponential smoothing type methods for univariate time series with irregular observations. Extensions of simple exponential smoothing, Holt method, Holt-Winters method and double exponential smoothing which have been developed in past are presented. An alternative method to Wright\\'s modification of simple exponential smoothing for irregular data. A program in which most of the methods presented here are available is a part of the work.