what does the expanded m-times (i.e. non recursive) simple exponential smoothing formula looks like?
fully recursive is: \(\hat{x}_{n+1}\)= αxn + (1 − α)\(\hat{x}_n\)
Answer
expanded m-times is \(\large \hat{x}_{n+1} = \sum_{i=0}^m\alpha(1-\alpha)^ix_{n-i}+(1-\alpha)^{m+1}\hat{x}_{n-m}\)
what does the expanded m-times (i.e. non recursive) simple exponential smoothing formula looks like?
fully recursive is: \(\hat{x}_{n+1}\)= αxn + (1 − α)\(\hat{x}_n\)
what does the expanded m-times (i.e. non recursive) simple exponential smoothing formula looks like?
fully recursive is: \(\hat{x}_{n+1}\)= αxn + (1 − α)\(\hat{x}_n\)
Answer
expanded m-times is \(\large \hat{x}_{n+1} = \sum_{i=0}^m\alpha(1-\alpha)^ix_{n-i}+(1-\alpha)^{m+1}\hat{x}_{n-m}\)
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Open it If a time series X t is described by an additive model with constant level and no seasonality, 1-step ahead forecasts may be obtained by simple exponential smoothing using the formula
\(\hat{x}_{n+1}\)= αx n + (1 − α)\(\hat{x}_n\)
where:
x n is the observed value at time n, \(\hat{x}_n\)and \(\hat{x}_{n+1}\)are the 1-step ahead forecasts of X n and X n+1 , and α is a smoothing parameter, 0 ≤ α ≤ 1.
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