StatTimeSerAnalysis.SingleExpForecast Function

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

Pascal

procedure SingleExpForecast(const Y: TVec; const YHat: TVec; var Alpha: double; const T: Integer; out MSE: double; const InitMethod: Integer = 0); overload;

File

StatTimeSerAnalysis

Parameters

Parameters	Description
Y	Time series data set.
YHat	Time series forecasts. Size of the YHat vector are adjusted automatically.
Alpha	Overal smoothing parameter used for forecast.
T	Forecast values up to T period.
MSE	MSE, evaluated at minimum.
InitMethod	Defines how the initial values for S[0] are calculated.

Description

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

Example

Do estimation and forecasting in single routine call.

Uses MtxExpr, StatTimeSerAnalysis, Math387;
procedure Example;
var Data,YHat: Vector;
    Alpha: 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 Alpha estimate = 0.6
  Alpha := 0.6;
  SingleExpForecast(Data,YHat,Alpha,T,MSE,0);
  // 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 alpha estimate = 0.6
  double alpha = 0.6;
  double mse;
  SingleExpForecast(Data,YHat,alpha,T,mse,0);
  // returs mse and estimated Alpha (from MLE)
}

StatTimeSerAnalysis, Functions, Example

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