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

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102 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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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 ...
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23 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
208 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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28 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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2answers
200 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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40 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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53 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
141 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
80 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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43 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
296 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 ...
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16 views

Combining exponentially smoothed variances

I'm currently tracking EWMA and EWMV with $M_k=(1-\alpha)*M_{k-1}+\alpha*x$ $S_k=(1-\alpha)*(S_{k-1}+\alpha*(x-M_{k-1})^2)$ Now, I'm tracking these values in data set with 4 different dimensions ...
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1answer
141 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 ...
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1answer
315 views

Holt's Linear and Holt-Winters in R

With the below code, I have run Holt's linear and Holt-Winters forecasts using Excel / Solver. I wanted to replicate this using R (Excel can be a pain) but I am getting the below error with ...
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3answers
352 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, ...
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188 views

Example of the Holt-Winters method

A couple of questions. First question: I noticed that I can't reproduce some very simple results using the Holt Winters method described in the book "Introductory Time Series with R" by Paul ...
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2answers
782 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, ...
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3answers
3k 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 ...
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1answer
134 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. ...
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1answer
665 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 ...
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1answer
259 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 ...
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190 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 ...
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1answer
99 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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3k 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 ...
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2answers
425 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 ...
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1answer
191 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 ...
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2answers
419 views

Holt-Winters and importance of R-square

Is R-square an important measure in Holt-Winters method?
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2answers
466 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 ...
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1answer
255 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 ...
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1answer
165 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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1answer
185 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 $\gamma$? ...
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237 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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2answers
270 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 ...
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2answers
865 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 ...
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3answers
309 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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1answer
267 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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1answer
164 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
370 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 ...
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0answers
142 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 ...