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Notation
The following notation is used throughout this chapter unless otherwise stated:
Xt Observed series, t = 1, K , n
p Number of periods
k Number of complete cycles 2n p7
et 4
tth residual X t − X$ t −1 9
S0 Initial value for series
lp
ml Mean for the lth cycle, ∑ Xi p
1 6
i = l −1 p +1
• The value saved in the FIT variable for the tth case is X$ t −1 .
1
2 EXSMOOTH
Models
No Trend, No Seasonality Model
Xt = b + εt
Initial value
S0 = X
then
X$ 0 = S0 , e1 = X1 − X$ 0
St = St −1 + α et
X$ t = St
X t = b + It + ε t
Initial value
∑m i
i =1
S0 =
k
EXSMOOTH 3
then
X$ 0 = S0 + I1− p
e1 = X1 − X$ 0
St = St −1 + α et
0 5
It = It − p + δ 1 − α et
X$ t = St + It − p +1
X t = bI t + ε t
Initial value
∑m i
i =1
S0 =
k
then
4 EXSMOOTH
X$ 0 = S0 I1− p
e1 = X1 − X$ 0
St = St −1 + αet It − p
0 5
It = It − p + δ 1 − α et St
X$ t = St It − p +1
X t = b0 + b1t + ε t
Initial values
X n − X1
T0 =
n −1
1
S0 = X 1 − T0
2
then
X$ 0 = S0 + T0
e1 = X1 − X$ 0
St = St −1 + Tt −1 + α et
Tt = Tt −1 + αγ et
X$ t = St + Tt
EXSMOOTH 5
X t = b0 + b1t + I t + ε t
Initial values
mk − m1
T0 =
0 5
k −1 p
p
S0 = X1 − T0
2
then
X$ 0 = S0 + T0 + I1− p
St = St −1 + Tt −1 + αet
Tt = Tt −1 + αγet
0 5
It = It − p + δ 1 − α et
X$ t = St + Tt + It − p +1
X t = (b0 + b1t ) I t + ε t
Initial values
mk − m1
T0 =
0 5
k −1 p
p
S0 = m1 − T0
2
6 EXSMOOTH
then
X$ 0 = ( S0 + T0 ) I1− p
3
St = St −1 + Tt −1 + α et It − p 8
3
Tt = Tt −1 + α γ et It − p 8
0 51
It = It − p + δ 1 − α et / St 6
X$ t = ( St + Tt ) It − p +1
X t = b0b1t + ε t
Initial values
;
T0 = exp ln X2 − ln X1 = @ X2
X1
%& 1 X()
'
S0 = exp ln X1 −
2
ln T0 = 1
T0*
then
X$ 0 = S0 T0
St = St −1Tt −1 + αet
Tt = Tt −1 + αγet St −1
X$ t = St Tt
EXSMOOTH 7
X t = b0b1t + I t + ε t
Initial values
<1
T0 = exp ln m2 − ln m1 p 6 A
%& p ()
'
S0 = exp ln m1 −
2
ln T0
*
then
X$ 0 = S0 T0 + I1− p
St = St −1Tt −1 + αet
Tt = Tt −1 + αγet St −1
0 5
It = It − p + δ 1 − α et
X$ t = St Tt + It − p +1
X t = (b0b1t ) I t + ε t
Initial values
<1
T0 = exp ln m2 − ln m1 6 0k − 15A
%& p ()
'
S0 = exp ln m1 −
2
ln T0
*
then
8 EXSMOOTH
X$ 0 = ( S0 T0 ) I1− p
St = St −1Tt −1 + αet It − p
Tt = Tt −1 + αγet ( It − p St −1 )
0 5
It = It − p + δ 1 − α et St
X$ t = ( St Tt ) It − p +1
X t = b0 + φ b1t + ε t
Initial values
Xn − X1
T0 =
0 5
n −1 φ
1
S0 = X1 − T0
2
then
X$ 0 = S0 + φ T0
St = St −1 + φ Tt −1 + αet
Tt = φ Tt −1 + αγet
X$ t = St + φ Tt
EXSMOOTH 9
X t = b0 + φ b1t + I t + ε t
Initial values
mk − m1
T0 =
0k − 15 pφ
p
S0 = m1 − T0
2
then
X$ 0 = S0 + φ T0 + I1− p
0
St = St −1 + φ Tt −1 + α 2 − α et5
1
Tt = φ Tt −1 + α α − φ + 1 et 6
It = It − p + δ 1 − α 02 − α 5 e
t
X$ t = St + φ Tt + It − p +1
1 6
X t = b0 + b1φ t I t + ε t
Initial values
mk − m1
T0 =
0k − 15 pφ
p
S0 = m1 − T0φ
2
10 EXSMOOTH
then
1
X$ 0 = S0 + φ T0 I1− p 6
0 5
St = St −1 + φ Tt −1 + α 2 − α et It − p
1 6
Tt = φ Tt −1 + α α − φ + 1 et It − p
It = It − p + δ 1 − α 02 − α 5 e t St
1 6
X$ t = St + φ Tt It − p +1
References
Abraham, B., and Ledolter, J. 1983. Statistical methods of forecasting. New York:
John Wiley & Sons, Inc.