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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Exponential Regression vs Exponential smoothing

I am very new to statistics (I am programmer). Can you, please, explain is this the same or these are different methods: Exponential Regression (http://www.xuru.org/rt/ExpR.asp) vs Exponential ...
499 views

Holt-Winters for Imputation

I have found Holt-Winters seasonal method a very decent method for forecast, specifically for cases where more recent observations are more representative of the near future. The method equally sounds ...
69 views

Smoothing intraday data when only looking at a certain time range

I have an intraday price series (5 minute) over several months. I want to smooth the data using an ema but also i am only interested in analysing the series between certain time periods eg between 8am ...
55 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, ...
101 views

Correct formula for converting the ARIMA MA(1) coefficient to the exponential smoothing $\alpha$ parameter?

Two crucial sources for time series analysis differ in a critical formula for equivalence between simple exponential smoothing (SES) and ARIMA(0, 1, 1). From Hyndman's F:PP: $\theta_1 = \alpha - 1$ ...
76 views

Fitting a nonlinear regression $Y=1 - a^{-bx}$

I have the following dataset: where X:Y 1:0.81 2:0.86 4:0.9 6:0.93 8:0.96 10:0.98 12:0.99 14:0.99 16:1 18:1 20:1 ..:1 Since the limit of the regression ...
507 views

How to compare ARIMA and exponential smooting model numerically?

The exponential smoothing method gives us values like SSE and $R^2$ for the entire model. The ARIMA model, however, does not give us these values. So, given the same data, how do one decide which ...
2k views

time series forecasting using auto.arima and exponential smoothing

I am working with workers’ remittance quarterly data for Bangladesh. Here I am doing time series forecasting using R. I am applying auto.arima model and exponential smoothing model. I want to compare ...
93 views

Strange results in Holt forecast

I am trying to understand what could be causing these strange values to appear on applying a Holt model to a vector. The data represents actual sales of an item. ...
385 views

Simple exponential smoothing

I simulated a time series using expressions (3.10a), (3.10b) from (Hyndman et al., 2008). Next, I'd like to use a simple exponential smoothing method to forecast for the next period. For a given ...
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Standard error and p-values of exponential smoothing weights

Is there any justfification for producing a standard error of a single exponentially weighted coefficient? If yes, how can we interpret the p-value? Background I use SAS ETS to estimate a single ...
114 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 ...
461 views

How to handle multiple periods in data when using Triple Exponential Smoothing (Holt-Winters method)?

Let's say I've got the the following time series (duration = 2.5 years) grouped by hour: ...
3k views

Choosing between Holt-Winters additive and multiplicative methods

I am attaching the question, I am solving for context. The sales of the average price of Fiat cars sold in a garage in the Belgian province of Limburg for each month are listed below. The foreman, Mr ...
911 views

Level and trend in Holt's linear trend method

I'm studying about exponential smoothing methods and something I still can not understand is the behavior of level and trend components when you increase and decrease level and trend smoothing ...
1k views

Why am I getting flat time series forecasts from most of the techniques?

I have a simple example time series: Data: ...
731 views

Why are exponential smoothing forecasts exactly the same for the following 5 days in hourly sampled 30 days data? R ets forecast package

I would like to use exponential smoothing to forecast for 5 days, but forecasts look all same. I have read the documentation of ets package and tried different Additive, Multiplicative model, but ...
1k views

Selecting between exponential smoothing models: MAPE or AIC?

I have applied Exponential Smoothing methods on data (Quarterly electricity production in Australia million kilowatt hourly) and then I forecast the accuracy of my models, ...
608 views

Why are forecasts from ARIMA and ETS equivalents different?

ETS models have ARIMA equivalents - this is described, eg, here and here. However when fitting pairs of ARIMA and ETS equivalents in R I sometimes get different results. For example, compare ...
121 views

Interpreting Seasonality Component Exponential Smoothing Models

I am building an exponential smoothing model that has seasonality in it, I would like to analyze the data with the seasonal factor removed so I can tell if a performance one month was due to seasonal ...
3k views

Using Holt-Winters formula, how do you choose which seasonality to begin your first forecast period with?

This is probably a pretty basic question but I'd like to understand how you choose a seasonality number for the first forecast period in a Holt-Winters model. If you need to forecast 8 months ahead ...
59 views