# 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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### 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 ...
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### 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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### How to learn beta in (this)variation of Brown's Simple Exponential Smoothing?

I have the below equation: Y' = Y + β Y1 + β^2 Y2 + β^3 Y3 This is time-series data where ...
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### Holt-Winters: Can I use more than one seasonal cycle for SSE minimisation?

I am minimising SSE to estimate the parameters and starting values for a Holt-Winters model. I.e. "forecasting" the values using different parameters, measuring the sum of squared errors of these "...
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### 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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### 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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### 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 ...
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### Exponential forecasting with non-constant variance

I want to use exponential forecasting to detect outliers, but my data are means of samples of different sizes. The series was formed by taking the average, every five minutes, of measurements ...
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### Time series when the data are averages of different sample sizes

I am trying to analyse a collection of time series where the observations are averages of different sample sizes. I'm looking at measurements from a high volume system with many users.I get averages ...
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### Is there any interpretation of parameters in Holt Winters method?

I am doing forecast on time series on R and I use exponential smoothing method Holt Winters. Does a value of $\alpha$ close to $0$ or $1$ "mean" something particular about the series? Same question ...
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### How much do the parameters in the Holt-Winters model matter?

When fitting a Holt-Winters model, I usually take the approach of retrospectively "predicting" some known historical values for the series, and optimising the coefficients for the parameters by ...
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### Alternatives to Holt-Winters models when the seasonality pattern has changed

I am forecasting a series of daily volumes in terms of units processed for a particular time period (the period around Christmas). Historically, I have used a Holt-Winters model, with the minor ...
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Say I have a stream of values $\langle s_1, s_2,\ldots\rangle$ coming in and a function $$E_{s_1:s_n}(t) = E_{s_1:s_{n-1}}(t-1) + \alpha\cdot (s_t-E_{s_1:s_{n-1}}(t-1))$$ that compute their ...
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### What does the ACF tell me here?

I have a time series of monthly sales data that is incomplete. That is, the product was partly out of stock and the sales of those periods are too low. I manually fixed this and wanted to plot the ...
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### What to make of a declining amplitude of a time series trend?

I am forecasting demand using the Holt-Winters model for a particular product class. I have been examining its performance so far this quarter (I only ever forecast Q4), and was surprised to note ...
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### Forecasting a series with changes in growth rate

I have a particular time series (demand in units for a particular product category), which I forecast each year (specifically, at/for Christmas, although the data runs all year round. Historically, ...
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### How is the Ornstein-Uhlenbeck process related to the error of an exponential moving average?

Is anyone aware of a direct relationship between the residual of an exponential moving average and the Ornstein-Uhlenbeck process? For example, assume a series, $Y_{t}$, that follows a geometric ...
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### Does “level” in exponential smoothing stand for the “mean”?

In triple exponential smoothing it is said that there are estimates for 3 components: level, trend and seasonal. Does "level" here stand for "mean"? In single exponential smoothing is only the level ...
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### How come Exponential Smoothing without trend producing astonishing results when there is trend in the time series

I have a time series and a plot of it is presented below for consideration. A linear trend was identified in the series both visually and using statistical tests such as Cox-Stuart and ManKendall. ...
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### 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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### 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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### 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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### Time series Exponential smoothing by Holt winters method

I have basic questions with respect to exponential smoothing techniques, from statsmodels.tsa.holtwinters import ExponentialSmoothing add_model = ExponentialSmoothing(traindata,seasonal_periods=12 ,...
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### Forecasting method for different cohorts with large seasonal swings but otherwise stable data

I am attempting to forecast percentage of churn for different cohorts. However, I am unsure how to proceed after selecting an initial method. The churn is fairly stable except for large seasonal ...
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### 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 ...
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### 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 ...
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### 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(...
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### Closest ARIMA models to Holt-Winter's Mixed Model and Time Series Decomposition Models

Can you please tell which ARIMA model will be closest to Holt-Winter's mixed model and Time Series Decomposition (additive/multiplicative) models And that ARIMA model maybe used in replacement of the ...
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### 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 $$Y_t = L_{t-1} + b_{t-1} + S_{t - m} + \varepsilon_t$$ The measurement equations ...
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### 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 ...
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### What is the best calculation method to account for individual change, volatility, observation windows and time decays in time series data? ARIMA, ETS?

I am looking at applying a theoretical best calculation method to some particular time series (ts) data. Ideally the calculation method would encompass relative change in individual ts, volatility of ...
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### 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 ...