A basic forecasting technique for time series data, optionally including trend and/or seasonality, but (usually) excluding causal influences.
Questions tagged [exponential-smoothing]
282 questions
5
votes
1 answer
Why multiplicative Holt-Winters requires strictly positive data points?
I've seen that multiplicative Holt-Winters requires strictly positive data points.
I was wondering why it does not allow zero values?
andrey
- 61
2
votes
0 answers
Which method of implementing the Brown's linear exponential smoothing is correct?
I am trying figure out what is the difference between Brown's linear model for double exponential smoothing and Holt's model. So the differences can be implemented into a Holt model using if statements. Aside from having alpha for both the trend and…
user3084006
- 388
2
votes
1 answer
Seasonal exponential smoothing without trend
Why multiplicative property exists only for the exponential smoothing with seasonality and trend (Winter's additive and Winter's multiplicative models) and not for the exponential smoothing with only seasonality (without trend)? As I have seen in…
Andreas Zaras
- 881
2
votes
1 answer
Correct form of multiplicative Holt-Winters
In forecasting principles and practice, the update equations are given as:
$$l_t = \alpha\frac{y_t}{s_{t-m}} + (1-\alpha)(l_{t-1} + b_{t-1})$$
$$b_t = \beta^*(l_t-l_{t-1}) + (1-\beta^*)b_{t-1}$$
$$s_t = \gamma\frac{y_t}{l_{t-1}+b_{t-1}} +…
2
votes
1 answer
Standard error and p-values of exponential smoothing weights
Is there any justfification for producing a standard error of a single exponentially weighted coefficient?
If yes, how can we interpret the p-value?
Background
I use SAS ETS to estimate a single exponential smoothing model. When i select the…
Andreas Zaras
- 881
2
votes
1 answer
Explain double and triple smoothing methods in plain english
As above, anyone willing to take out the mathematical jargon and notations - i can get that from any book on time series and explain what really is happening, why and how? Surely, there is someone who understands that these methodologies were…
Freewill
- 151
1
vote
1 answer
Simple exponential smoothing
I simulated a time series using expressions (3.10a), (3.10b) from (Hyndman et al., 2008). Next, I'd like to use a simple exponential smoothing method to forecast for the next period.
For a given initial point $\hat{y}_1$ I obtained the smoothing…
1
vote
2 answers
Single exponential smoothing
I think my question is quite simple and stupid:
What do we forecast using single exponential smoothing model: the next value of the observed time series or the next value of the level which lies in its basis?
If I got it correctly, an observed…
1
vote
0 answers
Formula to estimate parameter in double seasonal exponential smoothing
I have read the Taylor's Journal of double seasonal exponential smoothing, in his journal he said that the parameter of double seasonal exponential smoothing is estimate by the common procedure of minimising the sum of squared 1-step-ahead forecast…
Cintia
- 11
0
votes
1 answer
Why does the exponential moving average equation divide with 1+(1-⍺)+...?
I am trying to understand an exponential moving average, reading its Wikipedia page: https://en.wikipedia.org/wiki/Moving_average#Weighted_moving_average
In the middle of the explanation, the page says, "since 1/⍺ = 1 + (1-⍺) + ..." but why is ⍺…
lee27
- 173
0
votes
0 answers
Question about the weighting factor of Exponential Weighted Moving Average (EWMA/EMA)
Hiii, I have one question about the weighting factor of EMA.
As I learned, Exponential Weighted Moving Average has a weighting factor, Lamda, and its formula is:
S(t) = Lamda * Y(t) + (1-Lamda) * S(t-1)
Is there any methods to choose the lamda…
user145177
- 161
-1
votes
1 answer
Holt-winters method, outlier day of week
Hopefully this isn't too off topic. I've just received test results and disagree with some explanations of a question. The TA and I can't seem to resolve our differences and I'm starting to think maybe he is right that my understanding is wrong.…
