06-26-2017 12:45 AM
I would like to know how to interpret the parameter estimates in PROC ESM when Holt's exponential smoothing method is used.
proc esm data=t print=all ; forecast x /model=linear; run;
The estimate for Trend Weight is always 0.001.
i applied to various real data sets and the simulated data sets with different parameter settings.
data t; a=0.5; b=0.1; do t=0 to 100; x=a+b*t+rannor(123)*0.1; output; end; run;
how can they be converted to the parameters, alpha and gamma, specified in the document?
06-26-2017 09:05 AM
i answer my own question.
Level weight is alpha and Trend weight is gamma.
it just happens that the all data sets i used have constant trends (T(t) = T(t-1)).
the simulation data, of course, have constant trend.
therefore, gamma=0.001 is essentially zero.