I want to implement simple exponential smoothing model to minimize mean square error by optimizing smoothing weights.
Data I am using is time series data.
I am using proc ESM .I wanted to know if proc ESM is the right approach for the same?
code:
proc esm data=solver out=p outest=u outstat=h outfor=k lead=1 print=all printdetails;
id date interval=year;
forecast ft; /* ft is column in dataset for which we are forecasting values */
run;
The results coming from TSFS of ETS and proc esm are same.(value of mean square error ,forecasted values and smoothing weights)