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# Questions tagged [exponential-smoothing]

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

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### Detailed derivation of Multiplicative and Additive Holts & Winter triple exponential smoothing forecasting variance

I'm not able to found any website or textbook or scientific paper with the detailed derivation of of Multiplicative and Additive Holts & Winter triple exponential smoothing forecasting variance... ...
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### Exponential Averaging using Simple averaging

Mathematically what is the expression that is close to a 10 Day Exponential moving average (span of 10 means decay factor of 0.818181) that is created using averaging over Simple moving averages. E.g. ...
21 views

### Check exponential smoothing forecasts for significant changes

Suppose I have a time series that I model with double exponential smoothing as implemented in the R package forecast via the ets ...
9 views

### Mixed Effect Regression and Time Series Data

I have $5$ groups containing $30$ people. Every week, a person in a group plays a person in the same group at a game (so $15$ games in total for the entire group, but only one per person). This goes ...
15 views

### Implemented model over the smoothing value in timeseries

I am working with the demand forecasting project using time series. The problems is that there are too many items that need demand forecasting model. So I want to use the most general ways that can ...
51 views

156 views

### How is the decay rate in exponential smoothing optimized?

For the sake of simplicity, I just want to focus on single/level exponential smoothing. When alpha, the decay rate, is near 1, the most recent observation has the highest weight and influence of ...
1 vote
256 views

### How is the recursive function in exponential smoothing evaluated?

In exponential smoothing models, the most recent observation is weighted most heavily, while observations further back receive a smaller and smaller portion of weight. An alpha parameter will inform ...
74 views

394 views

### Hyperparameters of Exponential Smoothing

I have a large number of time series to forecast on which I would like to evaluate the potential of Exponential Smoothing. However, I am faced with a problem of parameter selection: I dont know how to ...
51 views

### Appropriate forecasting methods for only 20 observations [duplicate]

I am trying to forecast the regional GDP growth of our region in the next five years, I only have 20 observations in my data which is yearly, what forecasting model is appropriate? I tried ARIMA in r ...
43 views

### Differentiating data before exponential smoothing?

I know that to perform exponential smoothing you don't have to make your time series stationary, but I seem to get better results when I do it. Do you know anything about it?
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### (How) Can you combine moving average and exponential smoothing filters to get smoother trends?

Goal: Have a machine perform smoothing on time series data set to have a smooth looking trend. The correctness of the trend is balanced by being optimal i.e., minimize the MSE (Mean Standard Error). ...
133 views

### Point Estimates using forecast in R for Multi-Step TS Forecast -- Sometimes Same/Sometimes Not -- Why?

I am using the simple forecast(data, h = 6) function in R - as I work through Hyndman's 'Forecasting: Principles and Practice" textbook - which returns forecasts from the ETS algorithm. I'm not ...
44 views

### Why does the exponential moving average equation divide with 1+(1-⍺)+...?

I am trying to understand an exponential moving average, reading its Wikipedia page: https://en.wikipedia.org/wiki/Moving_average#Weighted_moving_average In the middle of the explanation, the page ...
1 vote
616 views

### What does span mean in exponential moving average?

To borrow from the documentation of pandas' ewm function: the center of mass, span, halflife and alpha of an exponential moving ...
60 views

### ets() function does not minimize AICc?

I have a question that is similar to this question: ETS function in forecast package is not choosing minimized AICc I see what the author of that question misunderstood but I basically have a reverse ...
676 views

### Performance of Holt-Winter´s seasonal method is different from Python to Excel

I have to code the "Forecast.ETS" function from excel in Python to predicts a future values based on existing (historical) values. In the Excel documentation they write that it is based on ...
1 vote
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### Smoothing factor in $n$-day exponentially weighted average

I have read online that if we want an $n$-day exponentially weighted average we use the formula $$\alpha = \frac{2}{n+1}$$ My question is why is this the case? Does this choice of factor turn out to ...
306 views

### Forecasting: AIC, AICc and BIC VS Cross Validation for model selection (cases for different horizons)

The majority of the automatic model selection algorithms like auto.arima and ets (https://robjhyndman.com/publications/automatic-...
1 vote
370 views

### How to correctly transform a log-log graph into untransformed exponential graph?

I plotted my data on a natural log-log scale and I seem to get a okay fit to the data with y=1.19 - 0.116x with Rsq = 0.29 I want to use the parameters but plot the row data with an exponential curve....
92 views

### Forecast is simply equal to the lag of the original time series

I am currently dealing with the problem of short time series which often involves naive models as they already perform well enough. So I implemented an exponential smoothing that follows  F_t = \...
977 views

### How do I identify if my time series' seasonality is additive or multiplicative?

The "ExponentialSmoothing" function in Python's "statsmodels.tsa.holtwinters" library gives you the option to set trend equal to ...
1k views

### What do the values for initialization method mean in statsmodels simple exponential smoothing?

I'm trying to use Statsmodels' simple exponential smoothing for time series analysis. There are various methods available for initializing the recursions (estimated, heuristic, known). Can someone ...
132 views

### Trend Dampen with SARIMA

Trend dampen exists as a parameter for Holt-Winters in the ExponentialSmoothing class for statsmodels but how can I do something ...
1 vote