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7 views

why is the level equation in the holt winters triple exponential model different from the other two?

the double exponential model is so simple: level: $s_t = \alpha x_t + (1-\alpha)(s_{t-1}+b_{t-1})$ trend: $b_t = \beta (s_t - s_{t-1}) + (1-\beta)b_{t-1}$ both intuitively weigh the new information ...
1
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0answers
18 views

Incorporate recent drop in number of units sold in a forecast using exponential smoothing

I'm trying to generate a one-year forecast for the number of units sold by a retail company. I'm using monthly data from 2017 and 2018. The forecast is for 2019, and I'm using the data from the months ...
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0answers
13 views

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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0answers
32 views

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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28 views

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 \begin{equation} Y_t = L_{t-1} + b_{t-1} + S_{t - m} + \varepsilon_t \end{equation} The measurement equations ...
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0answers
77 views

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 ...
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0answers
26 views

Historical average with exponential smoothing model [duplicate]

This topic similar with this one R Time Series Analysis forecast result always remains same But I perfrom exponential smoothing model in R. ...
1
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1answer
98 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 ...
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0answers
26 views

Get forecast after modelling on differenced series

I'm trying to apply exponential smoothing methods for a forecasting exercise in R. Since the data has seasonality component, I differenced and got a time series that is stationary. I tried to perform ...
2
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3answers
341 views

Negative Forecast using Holt-Winters

I tried to use Holt-Winters for forecasting, but it gives me negative values, but since these are demand quantities they cannot be negative. ...
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1answer
71 views
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0answers
102 views

Intuition about Exponential Smoothing parameters?

If I use Triple Exponential Smoothing with Additive Seasonality and let a statistical program optimize alpha, beta and gamma for me, is there something I can conclude about my data based on the ...
0
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1answer
40 views

Can I say Holt-Winters Method is an example of interpolation?

I believe it fits under the definition from wiki: In the mathematical field of numerical analysis, interpolation is a method of constructing new data points within the range of a discrete set of ...
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0answers
179 views

When optimizing $\alpha$ in a simple exponential smoothing model, is there any benefit to using something more sophisticated than least squares?

I am trying to manually implement simple exponential smoothing, for which the formula is pretty straightforward: $\hat{Y}_{t+1} = \alpha Y + (1- \alpha) \hat{Y}_t$ In the original formulation, the ...
0
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1answer
242 views

Time series forecasting: exponential smoothing, MA, or regression for future observations

Given a set of time series data from 0 to t as $x_t$, we would like to predict time series for t+1 and, say, t+2, using trend $m_{t+1}, ...$ Now, exponential smoothing trend is defined as: $m_{t+1} = ...
1
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1answer
2k 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 ...
2
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1answer
84 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 ...
1
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1answer
2k views

Is it OK to use Holt-Winters to predict longer-term future sales?

I have a full year of 2017 daily sales data and am looking forward to predicting the daily sales for next month. It has strong seasonality of 7, so what I did is to use Holt-Winters to calculate the ...
4
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1answer
650 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,...
2
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1answer
78 views

What is a recommended forecasting method for predicting air passenger numbers?

I am doing a forecasting project for school and trying to predict air passenger numbers based on 18 months of historical data from the airport. I have considered applying Holt-Winters seasonal ...
2
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1answer
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 ...
3
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1answer
186 views

What data generation process corresponds to exponential moving average prediction?

For each ARMA process formulation, there is an optimal prediction. E.g.: When you believe that $y_{t+1}=\alpha y_t + \varepsilon_{t+1}$, where $\varepsilon_{t+1}$ are IID, you predict $\hat{y}_{t+1}=\...
6
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2answers
6k views

Time series prediction: Neural Network (nnetar) vs. exponential smoothing (ets)

When I make a forecast for the univariate time series $x_1=1, x_2=2, \dots, x_{14} = 14$, why does the nnetar() function in R (which uses a neural network) not ...
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1answer
397 views

Implementation Difference between HoltWinters and hw functions of R's forecast package

While searing for examples for implementing Holtwinters with R, I came across following two functions: hw function from forecast package HoltWinters function from R-Core For the same data set, ...
2
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1answer
1k views

Deciding inital values of trend, season and level for Holt winter's seasonal additive smoothing

I am following this for understanding Holt winter's seasonal additive smoothing. I am not able to find any explanation for deciding initial values for trend, level and season for seasonal additive ...
3
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3answers
2k views

Alternatives to Using ARIMA for forecasting

I've been dealing with mostly univariate time series data and am wondering what alternative models exist for forecasting instead of ARIMA, ARMA, AR and MA processes, I know about exponential ...
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1answer
398 views

Applying EWMA to first difference of a time series

I am trying to fit an EWMA to the first difference but I am unsure how to properly fit the EWMA and how to assess if one model is better than another. I am trying to use the EWMA described in the <...
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0answers
33 views

Forecasting methods to work globally on a series of datasets

Forecasting a numeric time-series is providing an estimator $\hat y(t+1)$ of $y(t+1)$ computed from $(y(1),y(2)...y(t))$. You want it to be close to $y(t+1)$ (say in terms of squared distance). Now ...
2
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0answers
264 views

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 ...
0
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1answer
473 views

Techniques to improve accuracy of time series use case

I am working on forecasting weekly revenue of 10,000 sectors. Applied basic time series models and average RMSE(in thousands) on hold-out set (last 32 weeks) as below. In my view, ma12 and ETS(ANN) ...
2
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0answers
244 views

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 ...
2
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0answers
441 views

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 ...
0
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1answer
306 views

Results of stlf forecast prediction intervals change each run [closed]

Using stlf from Rob Hyndman's forecast package in R, I have noticed that the prediction intervals change each time I run it on a specific series of data (stays the same on other time series data as it ...
2
votes
1answer
2k views

Seasonal decomposition or Holt-Winters methods for forecasting?

When you have a time series that contains both trend and seasonal components, I learned that either seasonal decomposition (e.g., forecast the deseasonalized series, then add back the seasonal factor ...
1
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1answer
1k views

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

I have a simple example time series: Data: ...
0
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1answer
108 views

How to solve or choose the smoothing parameter phi in solving for the Nonlinear trend exponential smoothing?

In forecasting, to solving for the nonlinear trend exponential smoothing can you just choose any value of ϕ or is there a way to solve for it?
4
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2answers
2k views

Moving Average, Exponential Smoothing, and Random Walk for Forecasting

I would like to confirm my understanding. Is it true that a (simple) exponential smoothing model with alpha (smoothing constant) = 1 is the same as MA(1), which is in turn the same as a random walk ...
1
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1answer
662 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 ...
3
votes
1answer
201 views

Dealing with extreme shocks like global recession in time series

I'm following Rob Hyndman's forecasting otext to practice on some financial data for fun and I am having difficulties in trying to properly deal with large shocks similar to the 2008 recession. My ...
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0answers
2k views

Excel FORECAST.ETS What method based on?

Excel offers an exponential smoothing function. I currently use Excel 2013. In the Documentation it says: Calculates or predicts a future value based on existing (historical) values by using the ...
0
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1answer
270 views

Automatic forecasting in R discrepancy

I am new to time series forecasting and I am trying to understand automatic forecasting algorithm in the forecast package in R. I read http://www.jstatsoft.org/v27/i03 this paper and I tried to run: ...
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0answers
27 views

Appropriate forecasting model [duplicate]

I only have 2 available points and I wish to forecast its value for the next year. I'm currently looking into exponential smoothing, and econometric input-output model. Which one would be more ...
2
votes
1answer
234 views

Shifted fitted data in Exponential Smoothing, how to solve?

I've a doubt in the application of the exponential smoothing for pure forecasts. I'm using this type of model in these days, for the automatization of some algorithms. This time i'm working on non-...
0
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1answer
1k views

How to select between Holt Winters Model and ARIMA

I need to do sales forecasting.My historical data shows stationary pattern & present of trend,Seasonality & cyclic pattern. I would like to check with you that how to select between Holt ...
0
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2answers
177 views

Will ARIMAX or exponential smoothing forecast a short time series better?

The objective requires to predict GROSS NPA for 6 months and provided with 2 years of data i.e., around 24 observations. So, which of the method will provide better forecast?
1
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1answer
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, ...
1
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0answers
77 views

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 ...
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
votes
2answers
441 views

Can simple exponential forecasting be used for a non stationary series?

I have a non stationary series with trend and seasonal components. I want to use simple exponential smoothing ONLY for forecasting. Does the series need to converted to stationary before using SES? If ...
2
votes
1answer
483 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 ...