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StatTimeSerAnalysis.DoubleExpForecast Function

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

Pascal
procedure DoubleExpForecast(const Y: TVec; const YHat: TVec; var Alpha: double; var Gamma: double; const T: Integer; out MSE: double; const InitMethod: Integer = 0); overload;
Parameters 
Description 
Time series data set. 
YHat 
Time series forecasts. Size of the YHat vector are adjusted automatically. 
Alpha 
Overal smoothing parameter used for forecast. 
Gamma 
Trend smoothing parameter used for forecast. 
Forecast values up to T period. 
MSE 
MSE, evaluated at minimum. 
InitMethod 
Defines how the initial values for b[0] are calculated. 

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

Do estimation and forecasting in single routine call.

Uses MtxExpr, StatTimeSerAnalysis, Math387;
procedure Example;
var Data,YHat: Vector;
    Alpha,Gamma: double;
    T, NumPoints: Integer;
begin
  NumPoints := 20;
  Data.LoadFromFile('aerosol_particles.vec');
  // last point period = Data.Length-1 + NumPoints
  T := Data.Length-1+NumPoints;
  // initial estimates for Alpha, Gamma
  Alpha := 0.1;
  Gamma := 0.1;
  DoubleExpForecast(Data,YHat,Alpha,Gamma,T,MSE,1);
  // returs MSE and estimated Alpha (from MLE)
end;
#include "MtxExpr.hpp"
#include "Math387.hpp"
#include "StatTimeSerAnalysis.hpp"
void __fastcall Example();
{
  sVector Data,YHat;
  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;
  DoubleExpForecast(Data,YHat,alpha,gamma,T,MSE,1);
  // returs MSE and estimated Alpha (from MLE)
}
Examples on GitHub
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