Smoothing - Smoothing One Dont have trend or seasonal...

Info icon This preview shows page 1. Sign up to view the full content.

Smoothing One: Don’t have trend or seasonal component Exponential → as alpha gets smaller, the weight that you put on the past increases Choose an alpha that minimizes sum of squared errors The data that’s in the past → in sample The data that you did not use in forecasting → out sample in sample SSE measures how good your model represents your data that you used to fit the model out sample SSE tells you how useful your model is for prediction How good the model fits the data → minimize in sample SSE How good the model is for forecasting → minimize out of sample SSE If the time series contains no trend, no seasonality → use simple exponential smoothing
Image of page 1
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: alpha - when it is smaller, it is saying that you are depending on the past beta - how fast your trend should change with time (controlling the slope) if beta=1, then the trend is the same throughout if beta is small, then the trend changes throughout time gamma - how fast your seasonality should change with time If p value is large, residual is okay (there is no autocorrelation) if p value is small, then H0 is not rejected, thus the sum of the rows is not 0 → autocorrelation...
View Full Document

  • Fall '13
  • Lin
  • Time series analysis, sample SSE, sample SSE measures

{[ snackBarMessage ]}

What students are saying

  • Left Quote Icon

    As a current student on this bumpy collegiate pathway, I stumbled upon Course Hero, where I can find study resources for nearly all my courses, get online help from tutors 24/7, and even share my old projects, papers, and lecture notes with other students.

    Student Picture

    Kiran Temple University Fox School of Business ‘17, Course Hero Intern

  • Left Quote Icon

    I cannot even describe how much Course Hero helped me this summer. It’s truly become something I can always rely on and help me. In the end, I was not only able to survive summer classes, but I was able to thrive thanks to Course Hero.

    Student Picture

    Dana University of Pennsylvania ‘17, Course Hero Intern

  • Left Quote Icon

    The ability to access any university’s resources through Course Hero proved invaluable in my case. I was behind on Tulane coursework and actually used UCLA’s materials to help me move forward and get everything together on time.

    Student Picture

    Jill Tulane University ‘16, Course Hero Intern