Best Trial Method

The best trial method is used to automatically select exponential smoothing parameters.

Denote the i-th approximation:

,

where:

• a_i. Parameter α.

• d_i. Parameter δ.

• g_i. Parameter γ.

• fi_i. Parameter ϕ.

n+1-th approximation un+1 with the n-th approximation un available is searched as follows:

• Introduce some S implementations of random vectors:

• Find the index i0 using the criterion:

Where J is the criterion that defined optimal one-step-forward predictions in an exponential smoothing problem.

• Find n+1 approximation:

• Move to the first step.

See also:

Exponential Smoothing | Seasonal Effects Model | Growth Models | IExponentialSmoothingBestTrialMethod