StatTimeSerAnalysis.DoubleExpForecast Method

Overload List

#	Signature	Description
1	void DoubleExpForecast(TVec Y, TVec YHat, Double Alpha, Double Gamma, Int32 T, Int32 InitMethod)	Double exponential forecast.
2	void DoubleExpForecast(TVec Y, TVec YHat, ref Double Alpha, ref Double Gamma, Int32 T, ref Double MSE, Int32 InitMethod)	First estimate Alpha and Gamma parameters by double smoothing and then use returned values to forecast up to T periods.

Overload 1: void DoubleExpForecast(TVec Y, TVec YHat, Double Alpha, Double Gamma, Int32 T, Int32 InitMethod)

Double exponential forecast.

#	Name	Description
1	Y	Time series data set.
2	YHat	Time series forecasts. Size of the YHat vector are adjusted automatically.
3	Alpha	Overal smoothing parameter used for forecast.
4	Gamma	Trend smoothing parameter used for forecast.
5	T	Forecast values up to T period.
6	InitMethod	Defines how the initial values for b[0] are calculated.

Result: stored in self (calling object)

Remarks:

Forecasts time series values by using double exponential smoothing equations. For double exponential smoothing, the h period ahead forecast is given by:

F[t+h] = S[t]+h\cdot b[t] \quad .

See Also: StatTimeSerAnalysis.DoubleExpSmooth

Overload 2: void DoubleExpForecast(TVec Y, TVec YHat, ref Double Alpha, ref Double Gamma, Int32 T, ref Double MSE, Int32 InitMethod)

First estimate Alpha and Gamma parameters by double smoothing and then use returned values to forecast up to T periods.

#	Name	Description
1	Y	Time series data set.
2	MSE	MSE, evaluated at minimum.
3	YHat	Time series forecasts. Size of the YHat vector are adjusted automatically.
4	Alpha	Overal smoothing parameter used for forecast.
5	Gamma	Trend smoothing parameter used for forecast.
6	T	Forecast values up to T period.
7	InitMethod	Defines how the initial values for b[0] are calculated.

Result: stored in self (calling object)

Remarks:

Use this routine if you don't know the best estimates for Alpha and Gamma.

Examples

using Dew.Math;
using Dew.Stats;
using Dew.Stats.Units;
namespace Dew.Examples
{
    private void Example()
    {
        Vector Data = new Vector(0);
        Vector YHat = new Vector(0);
        int NumPoints = 20;
        Data.LoadFromFile("aerosol_particles.vec");
        // last point period = Data.Length-1 + NumPoints
        int T = Data.Length-1+NumPoints;
        // initial estimates for alpha, gamma
        double alpha = 0.1;
        double gamma = 0.1;
        double MSE;
        StatTimeSerAnalysis.DoubleExpForecast(Data,YHat,ref alpha,ref gamma,T,out MSE,1);
        // returs MSE and estimated Alpha (from MLE)
    }
}