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

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

Syntax

Visual Basic

public static void SingleExpForecast([In] TVec Y, [In] TVec YHat, ref double Alpha, [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.
[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 S[0] are calculated.

Remarks

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

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 alpha estimate = 0.6 double alpha = 0.6; double mse; StatTimeSerAnalysis.SingleExpForecast(Data,YHat,ref alpha,T,out mse,0); // returs mse and estimated Alpha (from MLE) } }

Group

SingleExpForecast Method

Links

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

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