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

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2answers
357 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
404 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 ...
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0answers
258 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) ...
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1answer
307 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 ...
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2answers
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 ...
0
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1answer
174 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 ...
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1answer
224 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
460 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
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1answer
451 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
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0answers
173 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 ...
6
votes
3answers
5k 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 ...