# Tagged Questions

36 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 ...
104 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 ...
91 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 ...
124 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 ...
114 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 ...
121 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 ...
102 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?
271 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) ...
400 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 ...
297 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 ...
244 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 ...
424 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 ...
193 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. ...
229 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 ...
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, ...
491 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, ...
497 views

### Holt-Winters and importance of R-square

Is R-square an important measure in Holt-Winters method?
238 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 $\gamma$? ...
2k 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 ...
353 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 ...
247 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) ...
1k 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 ...
214 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 ...