When choosing smoothing parameters in exponential smoothing, the choice can be made by either minimizing the sum of squared one-step-ahead forecast errors or minimizing the sum of the absolute onestep- ahead forecast errors. In this article, the resulting forecast accuracy is used to compare these two options.
Dielman, Terry E.
"Choosing Smoothing Parameters For Exponential Smoothing: Minimizing Sums Of Squared Versus Sums Of Absolute Errors,"
Journal of Modern Applied Statistical Methods:
1, Article 11.
Available at: http://digitalcommons.wayne.edu/jmasm/vol5/iss1/11