Questions tagged [exponential-smoothing]

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

Filter by
Sorted by
Tagged with
0
votes
0answers
7 views

How to get Theil's U from Rstudio? [closed]

I am performing forecasting using ETS exponential smoothing model using Rstudio Software. I also perform forecast accuracy measures and I need the value of Theil's U because the measure is required ...
1
vote
1answer
18 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 ...
0
votes
0answers
6 views

combing a classification model with a smoothing model and a linear regression model

I would like to use a 1) classification model to predict the class probability. 2) I would like to 'smooth' the probabilities and use the smoothed probabilities as a predictor feature in a 3) linear ...
0
votes
1answer
83 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 ...
0
votes
0answers
25 views

Holt-Winters: beta = 0

I have estimated the Holt-Winters exponential smoothing with trend and additive seasonal components. The optimized smoothings parameters that I have obtained are $\alpha =0.41, \beta =0, \gamma =0.47$....
2
votes
0answers
89 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
0answers
129 views

Why does prophet produce much tighter prediction intervals than ETS?

I'm currently working on a forecast problem, where narrow prediction intervals are preferred. When I look at the prediction intervals of ETS and prophet forecasts, I'm surprised that the prophet ...
0
votes
0answers
24 views

Low value on MAPE when using log CPI

I'm trying to evalute my Holt-Winter model using MAPE (mean absolut percent error) and I'm getting a low value at 0.2% which seems a bit too low. I'm using data on CPI from Belgium (per month) where I ...
0
votes
0answers
14 views

Is the Elo “rule of 400” a variation on EWMA?

tldr: The Elo rule looks like an ewma-style running average to me. Is that right? Details: The Elo rule of 400 (here) could be expressed this way: $$ rating_{N} = \frac{1}{N} \Sigma_{i=1}^{N}\left( ...
1
vote
2answers
78 views

What is the lag associated with Moving Average smoothing?

In a tutorial I came across this: "Recall that the forecast value is: $\hat{y}_{t+1} = \frac{y_t + y_{t-1} + ... + y_{t-m+1}}{m}$ It's worth pondering that formula for a minute. While easy to ...
0
votes
2answers
41 views

Analysis of housing price data with strong trend and seasonality

I am new to time series. I have monthly Zillow data from Chicago. Trying to build three good models here. Tried to make it stationary, but failed. If I understand correctly, I need to remove the ...
1
vote
0answers
37 views

Calculating EWMA & EWMV of concurrency from duration & interval

I'm looking to calculate the exponential moving average & exponential moving variance of a continuous series of request/responses, using each response's duration and the interval (time delta) ...
1
vote
1answer
29 views

How's the seasonal adjusted series calculated in Holt Winters method?

In the text book Forecasting: Principles and Practice in Exponential Smoothing chapter there is this part * ".. With the additive method, the seasonal component is expressed in absolute terms in ...
0
votes
1answer
28 views

ARIMA, Simple Moving Average, and Exponential Smoothing [closed]

I have time series data about a museum visitors in each month since 2011 to 2019. This data has seasonality. If I want to forecast the visitors in 2020, what forecasting method I should use? ARIMA, ...
0
votes
0answers
26 views

Can I hybridize between ARIMA model and exponential smoothing?

I have a time series that stabilized at the first difference (d=1) and the model was ARIMA(0.1.0), as I know it is a model that does not really predict. In this case I relied on hybridization as ...
0
votes
1answer
55 views

EWMA covariance matrix number of lags

When calculating an exponentially weighted covariance matrix for t observations, formula 10.2 here: https://www.oreilly.com/library/view/analysis-of-financial/9781118017098/c10_level1_1.xhtml Uses ...
0
votes
0answers
49 views

Exponential Smoothing for many time series

I have a detailed dataset with a lot of time series. If I apply exponential smoothing (using for instance R) it will take me to much time to calculate an $\alpha$ (level parameter) and $\beta$ (trend ...
0
votes
0answers
54 views

Holt-Winters yields same coefficients no matter what seasonality parameter level set to

really appreciate any help, i've been running HoltWinters on data below, using R. Initially i just used ...
1
vote
1answer
117 views

How to improve forecast

I have the number of hospitalizations due to a particular disease and I'm trying to forecast the number of hospitalizations for the next 3 months. I've been reading about ARIMA and time series but I'm ...
0
votes
0answers
113 views

How to calculate the MSE of exponential smoothing model in R?

I have a dataset of the daily stock price and volume, like this: ...
0
votes
1answer
20 views

Rolling Time Period for Exponential Forecast (Holt Method)?

I am curious in which cases (if any) you would force an exponential smoothing function to only incorporate data from the past year? Per Holt method, one would continue to use the full time series as ...
1
vote
0answers
73 views

How to update an ExponentialSmoothing model on new data without refitting

I'm trying to find the correct way to update an already fitted ExponentialSmoothing model on new data. My guess was like this: ...
0
votes
0answers
24 views

Is it possible to create a general forecast model working on several data sets?

I am working on a project, where the task is to create forecast models that can be used on a wide variaty of data sets. Some of which are stationary and some which aren't. Both ARIMA and Exponential ...
3
votes
1answer
106 views

What's the correct regression model for a contagious disease like COVID-19?

I'm examining how COVID-19 has struck different states asymmetrically, with some in the early stages of growth and others in which the number of daily cases is now coming down. Here's what the ...
1
vote
0answers
15 views

Holt-Winters Multiplicative Alpha Beta Gamma [closed]

I need to create a table with Holt-Winters Alpha, Beta and Gamma (ABG) I have the following code ...
1
vote
2answers
823 views

How to use Holt-Winters' seasonal multiplicative method when the data has zero values

I understand that the Holt-Winters' seasonal multiplicative method needs the data to have non-zero values. Accordingly, functions such as ...
1
vote
0answers
79 views

What should I do when my ets forecast residuals are correlated?

I am currently forecasting seasonally un-adjusted GDP and ran into an issue with residuals where there is a very large negative residual around the financial crises of 07/08. As this is homework I ...
0
votes
0answers
42 views

ETS function in forecast package is not choosing minimized AICc

I have the following Time Series: ...
1
vote
0answers
39 views

Fitting a Local Poisson model (Exponential Smoothing) [closed]

I am working through "Forecasting with Exponential Smoothing". I am stuck on exercise 16.4 on the part that states: The data set partx contains a history of ...
0
votes
1answer
45 views

Possible issues using moving average as an input for exponential smoothing?

I'm currently working with an ERP system that applies Exponential Smoothing to what it defines as "demand," which is itself a simple 90-day moving average of sales. I initially didn't trust it ...
2
votes
1answer
35 views

General exponential smoothing to linear functions of past observations

I am just trying to derive an equation in "Forecasting with Exponential Smoothing" page 36 section 3.2. I am given the following $\hat{y}_{t|t-1} = \textbf{w}'x_{t-1}$ $\epsilon_{t} = y_t - \hat{y}...
1
vote
0answers
491 views

Does smoothed data work better for time series forecasting with LSTMs?

I am training a 3-layer LSTM on time series data ($10^6$ training samples) to predict the next point in the time series, where there is no seasonality and the time series has been made stationary (...
2
votes
1answer
192 views

time series forecasting - predicting the next 24 hours

I have much the same problem as predict-the-next-24-hours, I have several years of hourly data of demand, and I would like to predict the next 24 hours. Ignoring the multi-seasonality issues - is it ...
0
votes
1answer
60 views

why is the level equation in the holt winters triple exponential model different from the other two?

the double exponential model is so simple: level: $s_t = \alpha x_t + (1-\alpha)(s_{t-1}+b_{t-1})$ trend: $b_t = \beta (s_t - s_{t-1}) + (1-\beta)b_{t-1}$ both intuitively weigh the new information ...
1
vote
0answers
20 views

Incorporate recent drop in number of units sold in a forecast using exponential smoothing

I'm trying to generate a one-year forecast for the number of units sold by a retail company. I'm using monthly data from 2017 and 2018. The forecast is for 2019, and I'm using the data from the months ...
0
votes
0answers
77 views

Is Box-Jenkins approach to time-series prediction and forecasting similar to Unobserved Components models approach?

How I understand the Box-Jenkins Method in a nut-shell is that a time-series model has signals that can be identified by weighting its own past lagged values, or weighting its owned past errors or ...
0
votes
0answers
79 views

Hyperparameter-free method for Moving Average/ Exponential smoothing?

I want to find hyperparameter-free method for Moving Average/ Exponential smoothing. Is there any related paper or python code? S(t)= alpha * F(t) + (1-alpha) * S(t-1) Any methods can avoid the ...
0
votes
0answers
90 views

Question about the weighting factor of Exponential Weighted Moving Average (EWMA/EMA)

Hiii, I have one question about the weighting factor of EMA. As I learned, Exponential Weighted Moving Average has a weighting factor, Lamda, and its formula is: S(t) = Lamda * Y(t) + (1-Lamda) * S(...
1
vote
2answers
95 views

How do I compare time series forecast models? (ARIMA vs HoltWinter)

I'm working on a toy problem to try and get a better understanding for time series forecasting. I have a sample data set, which I'll include, that shows daily e-commerce sales from 2015 through Feb, ...
0
votes
0answers
62 views

How to get a forecast equation for $\hat{y}$ using ETS state space model

The ets(AAA) state space model (Rob Hyndman's handbook) is as below State equation is \begin{equation} Y_t = L_{t-1} + b_{t-1} + S_{t - m} + \varepsilon_t \end{equation} The measurement equations ...
0
votes
1answer
338 views

Search for optimal alpha in EWMA

All literature about finding the best alpha for a EWMA points to use RMSE to measure the fit between the EWMA and the signal. As alpha increases, the series get less and less smoothed out, and as a ...
-1
votes
1answer
226 views

Holt-winters method, outlier day of week

Hopefully this isn't too off topic. I've just received test results and disagree with some explanations of a question. The TA and I can't seem to resolve our differences and I'm starting to think ...
3
votes
1answer
3k views

Prediction intervals exponential smoothing statsmodels

I've been reading through Forecasting: Principles and Practice. I am working through the exponential smoothing section attempting to model my own data with python instead of R. I am confused about how ...
0
votes
0answers
143 views

How to forecast individual customer's spend (for millions of customers)?

Which forecasting model fits better to forecast the customers spend in the next upcoming visit? We have millions of customers, so ARIMA or any other time series modeling for each of the customers is ...
1
vote
1answer
774 views

method for predicting a curve

I have data on several curves. the data is of the form: curve_id x y and there are many x/y pairs for each curve and x is limited to some known range. overall, the curves look quite similar in ...
0
votes
0answers
61 views

When we are proving why ARIMA(0,1,1) is equal to simple exponential smoothing, why can we considered theta to be equal to (1-alpha)

I know this is a very basic question, but its not clarified within my lectures. Essentially when you have ARIMA(0,1,1) You can simplify the theta 1 term in order to obtain SES via stating its (1-...
0
votes
0answers
49 views

Historical average with exponential smoothing model [duplicate]

This topic similar with this one R Time Series Analysis forecast result always remains same But I perfrom exponential smoothing model in R. ...
1
vote
1answer
242 views

Understanding Intuition for ETS Damping Selection via AIC/BIC

I'm trying to understand how ETS selects whether to use a damped model via information criteria (I'm not sure which of AIC, AICc or BIC are used). I have a time series and I'm comparing two ETS ...
3
votes
3answers
1k views

Negative Forecast using Holt-Winters

I tried to use Holt-Winters for forecasting, but it gives me negative values, but since these are demand quantities they cannot be negative. ...
0
votes
1answer
83 views

1
2 3 4 5