Fluorite | Level 6

## Forecast Studio - Exponential smoothing initialitzation

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
1 ACCEPTED SOLUTION

Accepted Solutions
SAS Employee

## Re: Forecast Studio - Exponential smoothing initialitzation

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&docsetVersio...

3 REPLIES 3
Pyrite | Level 9

## Re: Forecast Studio - Exponential smoothing initialitzation

Hi Ferran,

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

thanks

alex

Fluorite | Level 6

## Re: Forecast Studio - Exponential smoothing initialitzation

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

SAS Employee

## Re: Forecast Studio - Exponential smoothing initialitzation

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&docsetVersio...

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