A basic forecasting technique for time series data, optionally including trend and/or seasonality, but (usually) excluding causal influences.
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1answer
105 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
votes
0answers
75 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
vote
1answer
47 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 ...
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0answers
55 views
Bootstrap Prediction Intervals
My question concerns the construction of forecast prediction intervals using bootstrapping.
I have a 36 month time series, which I am using to perform point forecasts for the next 12 months using ...
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votes
0answers
45 views
Calculating price elasticity from triple exponentially smoothed values
I have a time series which exhibits a linear trend and multiplicative seasonality, so I've smoothed it using Holt-Winters exponential smoothing. Now, I suspect some of the deviation between smoothed ...
1
vote
1answer
112 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 ...
3
votes
2answers
166 views
Ensemble time series model
I need to automate time-series forecasting, and I don't know in advance the features of those series (seasonality, trend, noise, etc).
My aim is not to get the best possible model for each series, ...
1
vote
1answer
124 views
Do you think smoothing constant value, alpha, in SES method is a control parameter or process parameter?
There is a debate in selecting the smoothign constant in Single Exponentioan Smoothing method by practitioner or considering it as a process parameter?
Could you please provide your opinion regarding ...
1
vote
1answer
89 views
use Exponential smoothing to forecast lead-time demand
I'd like to use Simple Exponential smoothing to forecast the lead-time demand for inventory
control, I have monthly data and LT+1 is equal to 5 months, can I do a forecast using SES which gives me a ...
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2answers
225 views
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1answer
117 views
Values of $\alpha$, $\beta$ and $\gamma$ in ets in forecast package
I am using the forecast package in R. I wanted to know how the ets() function finds the value of $\alpha$, $\beta$ and $\gamma$? ...
3
votes
2answers
263 views
Confidence intervals for exponential smoothing
I'm using exponential smoothing (Brown's method) for forecasting. The forecast can be calculated for one or more steps (time intervals). Is there any way to calculate confidence intervals for such ...
0
votes
2answers
830 views
Value of alpha and beta in Holt's exponential smoothing method
How to choose the best values of alpha and beta in Holt's exponential smoothing? Leaving it upon R gives me $\alpha$ =1. Is this appropriate?
Entering different values of alpha and then comparing ...
1
vote
3answers
2k views
How to use triple exponential smoothing to forecast in Excel
I have been burdened with the task of coming up with a forecast plan for my company. I have no experience and am VERY new to the whole forecasting scene. As of right now, my company has no plans of ...
2
votes
2answers
197 views
Smoothing constant in single exponential smoothing
I have some SKUs and I'd like to do a forecast using single exponential smoothing as a forecasting method, when should we go for small value of alpha (.05,.1,...) and when for bigger ...
2
votes
3answers
254 views
Regression with exponentially-smoothed errors
I'm just starting to look into exponential smoothing models. Is there a way to fit a linear regression with exponentially-smoothed errors, similar to the standard technique of fitting a regression ...
0
votes
0answers
206 views
Help choosing the optimal time series analysis package
I am developing an app for time series analysis that should support the following:
Exponential Smoothing (Holt-Winters)
Box-Jenkins
curve fitting (straight line, quadratic, exponential, growth)
...
0
votes
1answer
225 views
Why doesn't the exponential smoothing forecast package in R provide confidence intervals for the fitted values?
The upper and lower prediction intervals for the forecast periods are provided by the forecast() function.
However, neither prediction or confidence intervals seem to be available for the fitted ...
0
votes
2answers
663 views
How to pick coefficients for Holt Winters?
I'm using Holt Winters to predict sales revenue from past performance. Seasonality and changing trends exist in the data.
One of the reasons chosen for Holt Winters is that it is fairly simple ...
0
votes
1answer
147 views
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 ...
0
votes
1answer
155 views
Initialization and estimation in exponential smoothing
Following Eqs. (3.10a) and (3.10b) from (Hyndman et al., 2008) I obtained a simulated series $y_t=l_{t-1}+\varepsilon_t$ and level $l_t=l_{t-1}+\alpha\,\varepsilon_t$, $t=1.2,\ldots,40$, see data ...
1
vote
2answers
360 views
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 ...
1
vote
1answer
315 views
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 ...
2
votes
0answers
129 views
Exponential moving average with sub-interval relevance / varying timeframe
I need to calculate an exponential moving average for a series of data. The intended sampling interval is fixed (say 1s) but the data stream has varying intervals (data intervals vary from 0.01s to ...
5
votes
3answers
2k views
Forecasting beyond one season using Holt-Winters' exponential smoothing
I am using the Holt-Winters' exponential smoothing technique to forecast expenditure data 2 years into the furture. The monthly data has an increasing trend and annual seasonality.
I'm using MS Excel ...
