# Questions tagged [exponential-smoothing]

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

198 questions
Filter by
Sorted by
Tagged with
6k views

### 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 ...
1k views

### 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