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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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6
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1answer
12k 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 output....
16
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3answers
16k 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. ...
6
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4answers
1k views

Choice of time-series model for store sales prediction

I have a data set of weekly sales for a range of stores (all belonging to one company). I am trying to predict weekly/monthly use of several ingredients in the individual stores. The choice for what ...
2
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3answers
6k 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 ...
11
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3answers
7k 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, ...
11
votes
1answer
8k views

When to use Exponential Smoothing vs ARIMA?

I have recently been refreshing my forecasting knowledge while working on some monthly forecasts at work and reading Rob Hyndman's book but the one place I am struggling is when to use an exponential ...
4
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3answers
9k 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 ...
4
votes
1answer
15k views

Interpretation of level, trend and seasonal indices in Holt-Winters exponential smoothing

I am trying to learn Holt-Winters exponential smoothing. In the algorithm there are three indices involved (level, trend, ...
4
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2answers
3k 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, ...
7
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2answers
6k 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 ...
4
votes
1answer
662 views

Are both ARIMA and Exponential Smoothing special cases of State Space models?

From the literature I gather that exponential smoothing models can be recast as special cases of state space models. I haven't seen similar references w/r to ARIMA being considered state space models,...
0
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0answers
38 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(...
4
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2answers
3k 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 ...
4
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2answers
4k 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 ...
3
votes
1answer
4k 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 ...
2
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1answer
2k views

Holt Winters with exogenous regressors in R

I need to forecast using HoltWinters with regression parameters using R. But I found there is not any option of xreg in ...
2
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0answers
3k views

Constant in arima model whether to include or exclude?

I have a very basic question on including constant in Arima models. I'll illustrate this by an example. I have the following ACF and PACF of a weekly time series that is differenced at lag 1 (trend) ...
1
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1answer
56 views

Exponential Regression with x outside of exponential

I am trying to do exponential regression by matrix notation, and I am trying to figure out to create my $\mathbf{X}$ matrix to fit my model. I know that I need to use a model function of the form $c_1 ...
0
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0answers
16 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
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1answer
151 views

Efficient automated prediction for a 1000 growing, big data sets. How to?

I have daily data points of the number of sales, but I am not looking at historic data only. My system delivers a new data point every day and in the evening I want to predict the number of sales ...
0
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0answers
195 views

Strange output while using Holt’s Linear Trend method

Here're the pictures of using Holt’s Linear Trend method: From tutorial (what it should be like): After running the code for my data Isn't it strange? Here's a code (method #5): ...