# 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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### 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 "...
701 views

### 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). ...
235 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 ...
415 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 ...
2k 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 values(.8,.9,...)?...
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### Why do I get linear model when I tried to fit exponential model?

I was wondering why do I get linear model when I'm using exponential model, y = a * exp(-b*-x), to fit my data. Here is my code: ...
3k views

### R times series — correct use of forecast() and accuracy() in forecast package

Cross-posting this from Stack Overflow, because it's a bit of a stats/ technology cross-over. I'm relatively new to R and the forecast package I believe authored by Rob Hyndman. I'm having trouble ...
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### 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 ...
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### How to dampen forecast to improve accuracy?

According to Armstrong there is ample empirical evidence that dampening trends in uncertain and complex long term forecasting helps improve accuracy/reduce forecasting errors. What I'm not able to ...
293 views

### What exactly is the exponential smoothing model?

I see the term "exponential smoothing" model used a lot in different applications but I never understood what exactly it is. Is it just a MA(1) model? Or is it any moving average model, meaning it ...
2k views

### Holt-Winters prediction intervals

I noticed that the Holt-Winters function in the "forecast" package in R contains prediction intervals. This was interesting, as it is not intuitively obvious to me how prediction intervals could be ...
106 views

### Does an exponential smoothing model have roots the way ARIMA models do?

I read elsewhere in this forum a comment (which I have since been unable to find again) about Exponential Smoothing models not having unit roots. I (sort of) know how to figure out the roots of an ...
537 views

### ARIMA on top of exponential smoothing for forecasting

I have time series data on temperature, both hourly and daily. I want to forecast the time series. Is it possible to combine ARIMA model and Exponential Smoothing methods to achieve the goal? Would ...
2k views

### Forecasting with two or more causal factors using the Holt-Winters method (in R)

Is there something similar to the Holt-Winters forecasting method in R, which can be used to model two or more explanatory factors?
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### Explain double and triple smoothing methods in plain english

As above, anyone willing to take out the mathematical jargon and notations - i can get that from any book on time series and explain what really is happening, why and how? Surely, there is someone who ...
1k views

### Maximum Likelihood Estimator for Exponential Smoothing

I'm not a statistician, so I would love an easy to understand answer. Is there a maximum likelihood estimator that can be stated as an explicit function of the observed data for the models enumerated ...
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### 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 ...
1k 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 ...
574 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 ...