A basic forecasting technique for time series data, optionally including trend and/or seasonality, but (usually) excluding causal influences.

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13 views

Exponential smoothing method that can be used in seasonal forecasting without trend

I'm working on the task of forecasting. The data I have is seasonal. I use exponential smoothing methods, but my references (e.g. for the Holt-Winters method) are for using such methods for seasonal ...
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1answer
22 views

Exponential smoothing state space model - stationary required?

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 ...
6
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3answers
137 views

ETS() function, how to avoid forecast not in line with historical data?

I am working on an alogorithm in R to automatize a monthly forecast calculation. I am using, among others, the ets() function from the forecast package to calculate forecast. It is working very well. ...
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2answers
90 views

Why do I get linear model when I tried to fit exponential model?

I was wondering why do I get linear model when I'm using exponential model, y = a * exp(-b*-x), to fit my data. Here is my code: ...
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13 views

Parsimonious Exponential Smoothing seasonality initialization

I have read the paper : http://users.ox.ac.uk/~mast0315/ParsimoniousSeasonalExpSm.pdf I am looking for a method that helps me forecast data at daily level and exhibiting double seasonality. First ...
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90 views

Forecast daily data with weekly and monthly seasonality using exponential smoothing

I have to forecast data that exhibits dual seasonality. For example, the first day of the week can show seasonality and also the first week of the month can show seasonality. I am planning to use ...
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0answers
10 views

How do you find out the number of intraday cycles for double seasonal exponential smoothing?

I have read about intracycle exponential smoothing in the paper Parsimonious Seasonal Exponential Smoothing. I am having trouble implementing the formula in Excel. It requires us to know the number of ...
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1answer
30 views

How to align two seasonal time series

I am trying to decompose a time series using Holt Winters method and use it for forecast. I am trying to do this for weekly data of last 25-26 months. The challenge is that the dates of the seasonal ...
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36 views

Trend line for “discontinuous” data (missing data points)

How do I draw a trend line for data with missing points? There should be a measurement for each day, but sometimes the user forgets to take it. Here’s some data and my current approach: The data ...
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1answer
31 views

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 ...
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0answers
10 views

Triple exponential smoothing handling 0 as input

I am using triple exponential smoothing multiplicative method for forecasting of input numbers. I have past 2 years of data which has a few '0' as entries. So when I run the forecast it gives me a ...
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1answer
28 views

Smoothing intraday data when only looking at a certain time range

I have an intraday price series (5 minute) over several months. I want to smooth the data using an ema but also i am only interested in analysing the series between certain time periods eg between 8am ...
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195 views

Holt-Winters Method & Triple Exponential Smoothing

what the different about HW method & triple exponential smoothing? Some people say it same. but I still confused about the formula, its look the different.. Please help me, I need for my first ...
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93 views

“Future-independent” smoothing methods (as exponential smoothing)

I'm searching for time series smoothing algorithms, which give "future-independent" results - each next smoothed value depends only on previous data (smoothed or not smoothed), but not on any future ...
3
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1answer
51 views

In triple exponential smoothing, what is the proper formula for recalculating gamma (seasonality)?

A pretty targeted but precise question -- In triple exponential smoothing (which there are many combinations of additive, multiplicative). What is the proper formula for calculating the new ...
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0answers
20 views

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 ...
1
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1answer
199 views

Explain the croston method of R

I am using crost() function of R for analyzing and forecasting intermittent demand/slow moving items time series. I am having difficulty in understanding the ...
0
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1answer
174 views

R times series — correct use of forecast() and accuracy() in forecast package

Cross-posting this from Stack Overflow, because it's a bit of a stats/ technology cross-over. I'm relatively new to R and the forecast package I believe authored by Rob Hyndman. I'm having trouble ...
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48 views

simple exponential smoothing with drift

I have researched all over the text books and software (R/SAS/SPSS), but I have not encountered Simple Exponential Smoothing (SES) with a drift ? Is it possible to add a drift term to Simple ...
0
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1answer
107 views

Maximum Likelihood Estimator for Exponential Smoothing

I'm not a statistician, so I would love an easy to understand answer. Is there a maximum likelihood estimator that can be stated as an explicit function of the observed data for the models enumerated ...
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32 views

Adding predictor variables and/ or systematic judgement to time series forecasts

I have a ways to go with my forecasting general education --- but I'm doing a seasonal time-series forecast for predicting sales order volumes. It's mostly software sales, which does have a ...
2
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0answers
77 views

Exponentially Weighing Moving Average (EWMA) for weekly data

I'm aware that the typical EWMA approach is applied over larger time periods (say for Volatility, where lambda = 94% and all weights add up to 100% for stock returns data from last 5 years). ...
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51 views

Statistical demand forecasting

How is batch demand forecasting done in retail like in Walmart where number of products to forecast are very large in number and products are short lived i.e have less than 36 months of historical ...
3
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1answer
151 views

Standard Deviation of an Exponentially-weighted Mean

I wrote a simple function in Python to calculate the exponentially weighted mean: ...
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106 views

How 'good' are Holt-Winters forecasts with unusual alpha, beta and gamma values?

I'm using this python script for Holt-Winters forecasting (https://gist.github.com/andrequeiroz/5888967) that I believe chooses values of alpha, gamma and beta via RMSE optimisation. Sometimes the ...
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55 views

Holt Winters Initialization Issue

I am using an additive seasonal Holt-Winters model to compute confidence band of my data. I followed the HW initialization process described by Rob J Hyn­d­man. The confidence band is derived by ...
0
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1answer
173 views

Anomaly detection using exponential weighted moving average

I would like to detect anomaly using exponential weighted moving average. I don't have series of data points. All I have is EMA(t-1) and the data point of the current time(t) DP(t). From these data, ...
3
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2answers
347 views

Avoid negative results in Holt Winters forecasting

I understood that Holt Winters forecasting may results in negative values due to trending. I did reduce trending component value, but still forecast values are negative territory. Our data set will ...
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1answer
189 views

How to dampen forecast to improve accuracy?

According to Armstrong there is ample empirical evidence that dampening trends in uncertain and complex long term forecasting helps improve accuracy/reduce forecasting errors. What I'm not able to ...
2
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1answer
721 views

Need clarity on alpha, beta, gamma optimization in Triple Exponential Smoothing Forecast

I asked a variation of this question, but I want to be more direct. Take the exact same Triple Exponential Smoothing Model (Holt-Winters with a moving level, trend, and seasonal component)--- Would ...
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1answer
338 views

R-squared to compare forecasting techniques

Is it appropriate when forecasting to use $R^2$ as the measure of how well exponential smoothing fits a data set for the purpose of time-series forecasting? I understand that it is appropriate for ...
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112 views

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?
2
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0answers
76 views

How to select the exponential decay constant for weighting in proc logistic?

I am trying to predict the sales conversion using proc logistics in SAS. Right now I have around 3 months of data, and it will gradually grow to more than an year over time. My intuition is that the ...
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72 views

smoothing nodes values on a graph given adjacency matrix

I am currently looking for a method to smooth values on a graph (composed of vertices and edges). For example I have a graph with a set of nodes V and I want to be able to smooth it. I could have ...
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212 views

Improving Python Exponential smoothing

I am going to improve my code to the Exponential smoothing I submitted to Statsmodel which can be found here. The code handles 15 different variation Standard Exponential Smoothing models including ...
0
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1answer
145 views

Solving for arima and exponential smoothing coefficients

I am looking to How do you solve for the optimum values with the lowest MSE for the coefficients and dampening constant in exponential smoothing and ARIMA models? What are the equation used?
2
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2answers
338 views

Exponential smoothing models backcasting and determining initial values python

I have made python code for exponential smoothing (ES) that takes in about 15 different cases including: Simple Exponential Smoothing (SES) Simple Seasonal models (both multiplicative and additive) ...
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0answers
137 views

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 ...
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3answers
811 views

Non-Stationary Time Series Forecasting

Suppose I have a non-stationary limited data. Do I have to make it stationary before making forecasts? Can I use exponential smoothing, moving averages or even Holt Winters methods without making my ...
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1answer
565 views

What is the minimum historical data/sample data required for a time series forecasting analysis?

Are there any statistical power analysis/sample size deteminations methods for time series data analysis/forecasting? For example if I have time series of 30 data points, how can I with confidence ...
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1answer
2k views

Holt's Linear and Holt-Winters in R

With the below code, I have run Holt's linear and Holt-Winters forecasts using Excel / Solver. I wanted to replicate this using R (Excel can be a pain) but I am getting the below error with ...
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3answers
284 views

Using simpler models in place of more generalized and complex models

I was reading about BATS (Box-Cox transformation, ARMA errors, Trend and Seasonality) and TBATS (Trigonometric, Box-Cox transformation, ARMA errors, Trend and Seasonality) models. I was wondering ...
0
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1answer
751 views

Does the Holt-Winters algorithm for exponential smoothing in time series modelling require the normality assumption in residuals?

I'm working on a project to compare different approaches to time series modeling. In the model selection process, we perform residual analysis for the fitted models. For regression, we need to check ...
3
votes
1answer
296 views

Residuals in double seasonal exponential smoothing

I have a time series with muliple seasonal cycles, which are 24 and 168 hours for my case. I would like to use Double Seasonal Exponential Smoothing method to forecast, which was published by James W. ...
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0answers
248 views

Multivariate EWMA

Is there any package in R which computes the Multivariate EWMA? I have a data frame of 4 series and I do not want to use a simple rectangular method to compute the covariance estimator. So is there ...
2
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1answer
2k views

Which is the better method to do forecast..1-step or h-step ahead?

I am using forecast() package in R to predict future values. I have a time series data for approx 6-7 years. First, I split the data into training set and test set. Test set contained values of the ...
3
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0answers
291 views

Best practices for dealing with shifting, inconsistent seasonality

This question is related to a previous post I've looked at (Calculation of seasonality indexes for complex seasonality), but deals with more granular data (daily instead of weekly), and transforming ...
1
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1answer
154 views

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 ...
1
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1answer
487 views

Multivariate exponential smoothing and Kalman filter equivalence

Suppose the time-series $X$ is hidden state Gaussian random walk and we observe $Y = X + e$, where $e$ is gaussian white noise independent of $X$. The Kalman estimator of $X$ in this case has a ...
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2answers
1k views

Using exponential smoothing to forecast irregularly spaced data in R

I'd like to use exponential smoothing to forecast the following data. The data is daily based. Because of some policy reasons, every $29^\text{th}$, $30^\text{th}$ and $31^\text{th}$ of each month, ...