topic Re: Forecast Studio - Exponential smoothing initialitzation in SAS Forecasting and Econometrics

Forecast Studio - Exponential smoothing initialitzation

FVidal — Fri, 17 Nov 2017 06:07:33 GMT

Hello,

I would like to know how Forecast Studio choose the first element of the exponential smoothing models.
Can I found some document with explanations?
Thank you,

Ferran

Re: Forecast Studio - Exponential smoothing initialitzation

alexchien — Fri, 17 Nov 2017 14:21:28 GMT

Hi Ferran,

what do you mean by the first element of the ESM models?

thanks

alex

Re: Forecast Studio - Exponential smoothing initialitzation

FVidal — Fri, 17 Nov 2017 14:28:02 GMT

Hello,

For example, in the 'simple exponential smoothing' the formula is: L(t) = alpha*Y(t) + (1-alpha)L(t-1)

But, you need, an initial L(0) to construct the next L(1).

In Double, Holt, Winters, etc...you always should have a rule to decide the first element, isn't it?

In the following text they call it 'Initialitzation': https://www.otexts.org/fpp/7/1

Regards,

Ferran

Re: Forecast Studio - Exponential smoothing initialitzation

mitrov — Fri, 17 Nov 2017 16:16:14 GMT

Hi, the initial states are computed by backcasting.

The details can be found in the documentation for the Time Series forecasting system (different product but same algorithms)

Go here:

https://support.sas.com/documentation/onlinedoc/ets/indexproc.html#ets143

And follow SAS/ETS 14.3 User's Guide-> Time Series Forecasting System-> Forecasting Process Details ->
Smoothing Model Calculations

This is the direct link I have, but I am not sure it can be accessed externally

http://go.documentation.sas.com/?docsetId=etsug&docsetTarget=etsug_tffordet_sect010.htm&docsetVersion=14.3&locale=en.