Programming the statistical procedures from SAS

Exponential smoothing time series data

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Regular Contributor
Posts: 187

Exponential smoothing time series data

I need exponential smoothed data for a time series. But the output from PROC ESM or PROC FORECAST is forecasted data, I need the observed data after exponential smoothing. How to do that?

Respected Advisor
Posts: 4,606

Re: Exponential smoothing time series data

Look at transformation EWMA in PROC EXPAND. It's  probably what you need.

PG

PG
Regular Contributor
Posts: 187

Re: Exponential smoothing time series data

Thanks.What if i want to try holtwinters smoothing. Proc expand doesn't seem to have this.

Respected Advisor
Posts: 4,606

Re: Exponential smoothing time series data

Not available in SAS, as far as I know. Try the simple stuff first.

PG

PG
Grand Advisor
Posts: 9,452

Re: Exponential smoothing time series data

If I recall right. there is a WINTAERS or ADD-WINTAERS method in proc esm . Check its documentation to see if proc esm offer what you need.

and post it at SAS Forecasting and Econometrics  . udo@sas will offer you some help.

Xia Keshan

Regular Contributor
Posts: 187

Re: Exponential smoothing time series data

Its there in in ESM and proc FORECAST, but only for the forecasted value. I need to apply them to data.

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