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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
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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
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Hi Ferran,
what do you mean by the first element of the ESM models?
thanks
alex
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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
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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