Simple stats question.
I'm having trouble finding anything in the literature as to why the smoothing coefficient can never be greater than 1. This question was started by me doing time series ARIMA model. I estimated the model would be (0,1,1) or exponential smoothing, turned out it was (0,2,0). I decided to model it as exponential smoothing anyways and found that the alpha was about 1.4.
Where $Forecast(t+1)=\alpha Actual(t)+(1-\alpha)Forecast(t)$
Doing some rough googling I'm told alpha isn't supposed to be greater than 1 but no actual reasons are given. If someone can provide some insight or point me in the right direction I'd appreciate that.