Summary
Triple exponential forecast.
Declaration
Procedure TripleExpForecast(Y: TVec; YHat: TVec; const Alpha, Beta, Gamma: TSample; T: Integer; Period: Integer);
| 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. |
| Beta | Trend smoothing parameter used for forecast. |
| Gamma | Seasonal smoothing parameter used for forecast. |
| T | Forecast values up to T period. |
| Period | Period length. An exception is raised if Y.Length mod Period is not 0. |
Description
The h period ahead forecast is given by:
where P is period length.
Categories
Time series analysis routines| See Also |
|---|
| TripleExpSmooth |
Declaration
Procedure TripleExpForecast(Y: TVec; YHat: TVec; var Alpha, Beta, Gamma: TSample; T: Integer; out MSE: TSample; Period: Integer);
| Parameter | Description |
|---|---|
| MSE | MSE, evaluated at minimum. |
Description
First estimate Alpha, Beta and Gamma parameters by triple exponential smoothing and then use returned values to forecast up to T periods. Use this routine if you don't know the best estimates for Alpha, Beta and Gamma.| Copyright 2008 Dew Research |