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

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Constant in arima model whether to include or exclude?

I have a very basic question on including constant in Arima models. I'll illustrate this by an example. I have the following ACF and PACF of a weekly time series that is differenced at lag 1 (trend) ...
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9 views

simple exponential smoothing - Ljung-Box test - residual

I'm a newbie in statistics and actually I'm studying Time Series. Reading this page (http://a-little-book-of-r-for-time-series.readthedocs.org/en/latest/src/timeseries.html) I found this sentence: ...
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1answer
67 views

Analyzing seasonality in data

In order to analyze the data in presence of seasonality, I used two methods: Proportional hazard model (Cox model) and time series method (Triple Exponential Smoothing (Holt Winters Method)). Now , my ...
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14 views

Which time series model to use?

Hi I have a large data set of objects, each containing a list of the same attributes. The data is arranged in a time series so that the value for an attribute for an object is indexed by its time. ...
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19 views

EWMA or Moving Average when Estimating Trend in Seasonal Data

What is generally the best practice when estimating trend (non-seasonal component) in seasonal data? Centred Moving Average as suggested by MatLab docs Averaged EWMA (backwards & forwards) as ...
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1answer
42 views

How can a 95% confidence interval not overlap with my trendline forecast?

I used holt winters in excel to forecast 12 moths ahead based on 40 months of historic data. Then I ran a monte carlo simulation to create 1000 scenarios and computed upper and lower bounds to create ...
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1answer
60 views

time series forecasting using auto.arima and exponential smoothing

I am working with workers’ remittance quarterly data for Bangladesh. Here I am doing time series forecasting using R. I am applying auto.arima model and exponential smoothing model. I want to compare ...
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1answer
48 views

Holt-Winters Forecasting - Why do we use most recent estimate for all projections going forward?

Ive been doing some research on using the Holt-Winters method for forecasting and understand all but one aspect. Why do we use the most recent estimate for the base and trend components for all ...
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18 views

Exponential Smoothing with Causal Regressors

I am trying to develop several approaches to analyze the effect of covariates on retail sales . the first approach i am trying to use is exponential smoothing with regressors (for its simplicity to ...
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36 views

How come Exponential Smoothing without trend producing astonishing results when there is trend in the time series

I have a time series and a plot of it is presented below for consideration. A linear trend was identified in the series both visually and using statistical tests such as Cox-Stuart and ManKendall. ...
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31 views

Confidence interval for exponential moving average and variance

There are well known formulas for the exponential moving average and variance. Just for the completeness of the question, for each new x in a series of X(1..n) online EMA and EMVar can be estimated as ...
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5answers
348 views

Is it always required to achieve stationarity before performing any time-series analysis?

For example, I know that for ARIMA models stationarity needs to be achieved. What about Exponential Smoothing? Is it also required?
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60 views

Forecasting with two or more causal factors using the Holt-Winters method (in R)

Is there something similar to the Holt-Winters forecasting method in R, which can be used to model two or more explanatory factors?
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1answer
40 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
37 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 ...
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3answers
228 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
104 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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21 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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2answers
297 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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15 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
38 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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46 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
34 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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23 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
33 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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251 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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101 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 ...
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68 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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28 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 ...
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1answer
666 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 ...
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1answer
393 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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69 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 ...
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1answer
141 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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1answer
97 views

Confusing Holt-Winters parameters

I have got a model for forecasting using holt-winters. However the parameters confuse me... The parameters show that there is no trend or seasonality even though there is definite trend and ...
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42 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 ...
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95 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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64 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 ...
2
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1answer
902 views

Holt-Winters and Abnormal termination in LNSRCH

I try to fit data with Holt-Winters function in R. Nevertheless, i am getting the following message: ...
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1answer
230 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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137 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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1answer
236 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, ...
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2answers
473 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
257 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 ...
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1answer
929 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
455 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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1answer
63 views

Strange results in Holt forecast

I am trying to understand what could be causing these strange values to appear on applying a Holt model to a vector. The data represents actual sales of an item. ...
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136 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?
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1answer
757 views

Holt-Winters exponential smoothing formula

I am trying to implement Holt-Winters exponential smoothing in Java program (I understand that R and Python have implementations of these algorithms, but I can't use those due to other reasons, so ...
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0answers
93 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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79 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 ...