StatTimeSerAnalysis.DoubleExpSmooth Function

In this case a fixed smoothing constants Alpha, Gamma are used in smoothing equations (no minimization is performed).

Pascal

procedure DoubleExpSmooth(const Y: TVec; const S: TVec; const B: TVec; const Alpha: double; const Gamma: double; out MSE: double; const InitMethod: Integer = 0); overload;

File

StatTimeSerAnalysis

Parameters

Parameters	Description
Y	Time series data set.
S	Smoothed values (see above equation). Size and complex properties of S are set automatically.
B	Trend values (see above equation). Size and complex properties of b are set automatically.
Alpha	Defines initial estimate for Alpha, returns Alpha which minimizes MSE.
Gamma	Defines initial estimate for Gamma, returns Gamma which minimizes MSE.
MSE	Returns MSE, evaluated for constant Alpha and Gamma.
InitMethod	Defines how the initial values for b[0] are calculated.

Example

Load data, perform smoothing with Alpha = 0.2, Gamma = 0.18

Uses MtxExpr, StatTimeSerAnalysis, Math387;
procedure Example;
var Data,S,b: Vector;
    MSE: double;
begin
  Data.LoadFromFile('aerosol_particles.vec');
  // smooth data with Alpha=0.2, Gamma=0.18
  DoubleExpSmooth(Data,S,b,0.2,0.18,MSE,1);
  // results: MSE
end;

#include "MtxExpr.hpp"
#include "Math387.hpp"
#include "StatTimeSerAnalysis.hpp"
void __fastcall Example();
{
  sVector Data, S, b;
  double MSE;
  Data.LoadFromFile("aerosol_particles.vec");
  // smooth data with Alpha=0.2, Gamma=0.18
  DoubleExpSmooth(Data,S,b,0.2,0.18,MSE,1);
  // results: MSE
}

StatTimeSerAnalysis, Functions, Example

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