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on 28-May-2016 (Sat)

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Flashcard 150891359

Tags
#m249 #mathematics #open-university #statistics #time-series
Question
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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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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Flashcard 1346509606156

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Flashcard 1346530315532

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scheduled repetition interval               last repetition or drill

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