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02-11-2016 02:55 AM

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)

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Solution

2 weeks ago

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02-12-2016 08:49 AM - edited 02-12-2016 08:50 AM

Hello -

Looks good - as the default model of PROC ESM is simple exponential smoothing.

If you would like to switch to a different ESM you can add a "model" option to your FORECAST statement.

For example:

forecast ft / model=DAMPTREND; /*for damped trend exponential smoothing */

For more detail check out: http://support.sas.com/documentation/cdl/en/etsug/68148/HTML/default/viewer.htm#etsug_esm_syntax04.h...

Thanks,

Udo

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Solution

2 weeks ago

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02-12-2016 08:49 AM - edited 02-12-2016 08:50 AM

Hello -

Looks good - as the default model of PROC ESM is simple exponential smoothing.

If you would like to switch to a different ESM you can add a "model" option to your FORECAST statement.

For example:

forecast ft / model=DAMPTREND; /*for damped trend exponential smoothing */

For more detail check out: http://support.sas.com/documentation/cdl/en/etsug/68148/HTML/default/viewer.htm#etsug_esm_syntax04.h...

Thanks,

Udo