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

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192 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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0answers
14 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
299 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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1answer
799 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 ...
2
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1answer
678 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: ...
2
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1answer
33 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
59 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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1answer
648 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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1answer
88 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 ...
2
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1answer
21 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
25 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
166 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
95 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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14 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
132 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
31 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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0answers
39 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
33 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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3answers
905 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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0answers
14 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
29 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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0answers
213 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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0answers
95 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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1answer
55 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
21 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
301 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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246 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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54 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
116 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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0answers
36 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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0answers
83 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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56 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
173 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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0answers
111 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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0answers
56 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 ...
3
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2answers
375 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
209 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
378 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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0answers
260 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 ...
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2answers
4k 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 ...
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0answers
121 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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3answers
287 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 ...
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0answers
78 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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0answers
73 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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0answers
237 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 ...
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2answers
351 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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1answer
148 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?
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0answers
141 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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1answer
498 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 ...