StatTimeSerAnalysis.TripleExpForecast Method

Overload List

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

Triple 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	Beta	Trend smoothing parameter used for forecast.
5	Gamma	Seasonal smoothing parameter used for forecast.
6	T	Forecast values up to T period.
7	Period	Period length. An exception is raised if Y.Length mod Period is not 0.

Result: stored in self (calling object)

Remarks:

The h period ahead forecast is given by:

F[t+h] = (S[t]+h\cdot b[t])L[t-P] \quad .

where P is period length.

See Also: StatTimeSerAnalysis.TripleExpSmooth

First estimate Alpha, Beta and Gamma parameters by triple exponential smoothing and then use returned values to forecast up to T periods.

#	Name	Description
1	MSE	MSE, evaluated at minimum.
2	Y	Time series data set.
3	YHat	Time series forecasts. Size of the YHat vector are adjusted automatically.
4	Alpha	Overal smoothing parameter used for forecast.
5	Beta	Trend smoothing parameter used for forecast.
6	Gamma	Seasonal smoothing parameter used for forecast.
7	T	Forecast values up to T period.
8	Period	Period length. An exception is raised if Y.Length mod Period is not 0.

Result: stored in self (calling object)

Remarks:

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