DoubleExpForecast Routines

Summary

Double exponential forecast.

Declaration

Procedure DoubleExpForecast(Y: TVec; YHat: TVec; const Alpha, Gamma: TSample; T: Integer; InitMethod: Integer = 0);

Parameter	Description
Y	Time series data set.
YHat	Time series forecasts. Size of the YHat vector are adjusted automatically.
Alpha	Overal smoothing parameter used for forecast.
Gamma	Trend smoothing parameter used for forecast.
T	Forecast values up to T period.
InitMethod	Defines how the initial values for b[0] are calculated.

Description

Forecasts time series values by using double exponential smoothing equations. For double exponential smoothing, the h period ahead forecast is given by:

See Also
DoubleExpSmooth

Parameter	Description
MSE	MSE, evaluated at minimum.

Example 1

Do estimation and forecasting in single routine call.

  Uses MtxExpr, StatTimeSerAnalysis, Math387;
  procedure Example;
  var Data,YHat: Vector;
      Alpha,Gamma: TSample;
      T, NumPoints: Integer;
  begin
    NumPoints := 20;
    Data.LoadFromFile('aerosol_particles.vec');
    // last point period = Data.Length-1 + NumPoints
    T := Data.Length-1+NumPoints;
    // initial estimates for Alpha, Gamma
    Alpha := 0.1;
    Gamma := 0.1;
    DoubleExpForecast(Data,YHat,Alpha,Gamma,T,MSE,1);
    // returs MSE and estimated Alpha (from MLE)
  end;

  #include "MtxVecCpp.h"
  #include "Math387.hpp"
  #include "StatTimeSerAnalysis.hpp"
  void __fastcall Example();
  {
    Vector Data,YHat;
    int NumPoints = 20;
    Data->LoadFromFile("aerosol_particles.vec");
    // last point period = Data.Length-1 + NumPoints
    int T = Data->Length-1+NumPoints;
    // initial estimates for Alpha, Gamma
    double alpha = 0.1;
    double gamma = 0.1;
    double MSE;
    DoubleExpForecast(Data,YHat,alpha,gamma,T,MSE,1);
    // returs MSE and estimated Alpha (from MLE)
  }

  using Dew.Math;
  using Dew.Stats;
  using Dew.Stats.Units;
  namespace Dew.Examples
  {
    private void Example()
    {
      Vector Data = new Vector(0);
      Vector YHat = new Vector(0);
      int NumPoints = 20;
      Data.LoadFromFile("aerosol_particles.vec");
      // last point period = Data.Length-1 + NumPoints
      int T = Data.Length-1+NumPoints;
      // initial estimates for alpha, gamma
      double alpha = 0.1;
      double gamma = 0.1;
      double MSE;
      StatTimeSerAnalysis.DoubleExpForecast(Data,YHat,ref alpha,ref gamma,T,out MSE,1);
      // returs MSE and estimated Alpha (from MLE)
    }
  }