StatTimeSerAnalysis::SingleExpForecast Function

StatTimeSerAnalysis Namespace

Overload List

#SignatureDescription
1void SingleExpForecast(TVec *Y, TVec *YHat, const double Alpha, const int T, const int InitMethod = 0);Single exponential forecast.
2void SingleExpForecast(TVec *Y, TVec *YHat, double &Alpha, const int T, double &MSE, const int InitMethod = 0);rst estimate Alpha parameters by single smoothing and then use returned value to forecast up to T periods.

Overload 1: void SingleExpForecast(TVec *Y, TVec *YHat, const double Alpha, const int T, const int InitMethod = 0);

Single exponential forecast.

#NameTypeDescription
1YTVec *Time series data set.
2YHatTVec *Time series forecasts. Size of the YHat vector are adjusted automatically.
3Alphaconst doubleOveral smoothing parameter used for forecast.
4Tconst intForecast values up to T period.
5InitMethod = 0const intDefines how the initial values for S[0] are calculated.
Remarks:

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

F[t+h]=S[t].F[t+h] = S[t] \quad .
Examples
#include "MtxExpr.h"
#include "Units.StatTimeSerAnalysis.h"

using namespace Dew;
using namespace Dew::Math;
using namespace Dew::Stats;
using namespace Dew::Stats::Units::StatTimeSerAnalysis;

void Example()
{
    Vector Data(0);
    Vector YHat(0);
    Vector Residuals(0);
    int NumPoints = 20;
    Data.LoadFromFile("aerosol_particles.vec");
    // last point period = Data.Length-1 + NumPoints
    int T = Data.Length - 1 + NumPoints;
    SingleExpForecast(Data, YHat, 0.33, T, 0);
    // YHat now stores estimates for YHat[1,...Length-1]
    // so, if we need residuals, we have to subtract
    // these values from y[1,...,Length-1)
    Residuals.Size(Data.Length - 1);
    Residuals.Sub(Data, YHat, 1, 0, 0, Data.Length - 1);
}
See Also: StatTimeSerAnalysis::SingleExpSmooth
Declared in Dew::Stats::Units::StatTimeSerAnalysis · Dew.Stats/Units.StatTimeSerAnalysis.h · Cross-compiler

Overload 2: void SingleExpForecast(TVec *Y, TVec *YHat, double &Alpha, const int T, double &MSE, const int InitMethod = 0);

rst estimate Alpha parameters by single smoothing and then use returned value to forecast up to T periods.

#NameTypeDescription
1YTVec *Time series data set.
2YHatTVec *Time series forecasts. Size of the YHat vector are adjusted automatically.
3Alphadouble &Overal smoothing parameter used for forecast.
4Tconst intForecast values up to T period.
5MSEdouble &MSE, evaluated at minimum.
6InitMethod = 0const intDefines how the initial values for S[0] are calculated.
Remarks:

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

Examples
#include "MtxExpr.h"
#include "Units.StatTimeSerAnalysis.h"

using namespace Dew;
using namespace Dew::Math;
using namespace Dew::Stats;
using namespace Dew::Stats::Units::StatTimeSerAnalysis;

void Example()
{
    Vector Data(0);
    Vector YHat(0);
    int NumPoints = 20;
    Data.LoadFromFile("aerosol_particles.vec");
    // last point period = Data.Length-1 + NumPoints
    int T = Data.Length-1+NumPoints;
    // initial alpha estimate = 0.6
    double alpha = 0.6;
    double mse;
    SingleExpForecast(Data,YHat,alpha,T,mse,0);
    // returs mse and estimated Alpha (from MLE)
}
Declared in Dew::Stats::Units::StatTimeSerAnalysis · Dew.Stats/Units.StatTimeSerAnalysis.h · Cross-compiler