StatTimeSerAnalysis.DoubleExpForecast Method ([In] TVec, [In] TVec, double, double, [In] int, out double, [In] int)

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

Syntax

Visual Basic

public static void DoubleExpForecast([In] TVec Y, [In] TVec YHat, ref double Alpha, ref double Gamma, [In] int T, out double MSE, [In] int InitMethod);

Parameters

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

Remarks

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

Example

Do estimation and forecasting in single routine call.

using Dew.Math; using Dew.Stats; using Dew.Stats.Units; namespace Dew.Examples { private void Example() { Vector Data = new Vector(0); Vector YHat = new Vector(0); 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; StatTimeSerAnalysis.DoubleExpForecast(Data,YHat,ref alpha,ref gamma,T,out MSE,1); // returs MSE and estimated Alpha (from MLE) } }

Group

DoubleExpForecast Method

Links

StatTimeSerAnalysis Class, StatTimeSerAnalysis Members, Dew.Stats.Units Namespace, DoubleExpForecast Method, Example

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