ExpSmooth

Syntax

ExpSmoothR(Input: ITimeSeries,
           Period: IMsPeriod,
           SeasonalEffect: SeasonalityType,
           SeasonalPeriod: Integer,
           Trend: TrendType,
           Alpha: Variant,
           Delta: Variant,
           Gamma: Variant,
           Phi: Variant,
           Casewise: MsCasewise,
           GridStep: Double)

Parameters

Input. Variable

Period. Period, at which the method is calculated. If the parameter value is Null, the method is calculated at the entire time period

SeasonalEffect. Seasonal model

SeasonalPeriod. Length of seasonal period

Trend. Growth model

Alpha. Alpha coefficient

Delta. Delta coefficient

Gamma. Gamma coefficient

Phi. Phi coefficient

Casewise. Missing data treatment method. Optional parameter. The default value is MsCasewise.No - missing data is not treated

GridStep. Grid step. Optional parameter. By default the parameter is set to 0.1.

Description

It transforms the variable by the exponential smoothing method.

Comments

The SeasonalPeriod parameter value must be greater or equal to four. The parameter is considered if the additive or multiplicative seasonal model is used

Values of the Alpha, Delta, Gamma, Phi coefficients can be set by user or automatically. To estimate values automatically, use the Estimate function

The value of the Delta parameter is considered if the additive or multiplicative seasonal model is used

The value of the Gamma parameter is considered if the additive or exponential growth model is used

The value of the Phi parameter is considered if the fading growth model is used

Values for lead/lag and cycle period limits are set depending on the calendar frequency of the input variable. Basic values:

Frequency	Lead/lag	Low limit	Upper limit
Annual	3	2	8
Semi-Annual	6	3	16
Quarterly	12	6	32
Monthly	36	18	96
Weekly	156	78	416
5-days	783	391.5	2088
7-days	1095	547.5	2920

Example

Formula	Result	Application
= ExpSmooth({Brazil\|BCA[t]}, SetPeriod("01.01.2005", "01.01.2015"), SeasonalityType.Additive, 4, TrendType.Linear, 0.1, 0, 0.1, 0, MsCasewise.No, 0.2)	For the Brazil\|BCA series the exponential smoothing will be executed by the following parameters: adaptive seasonality model will be used, the seasonality period length is 4, the Delta and Phi coefficients area 0,Alpha and Gamma are 0.1, calculation is executed without missing data treatment, the calculation period is from 2005 to 2015, the grid step is 0.2.	It can be used in formulas of calculated series of time series database and in formulas of attribute-based models of modeling container.
= ExpSmooth(X1, Null, SeasonalityType.Additive, 4, TrendType.Linear, 0.2, 0, 0.2, 0, MsCasewise.No, 0.3)	For the X1 factor exponential smoothing for the whole calculation period will be executed by the following parameters: additive seasonality model will be used, the seasonality period length is 4, the Delta and Phi coefficients are 0, the Alpha and Gamma coefficients are 0.2, the calculation is executed without missing data treatment, the grid step is 0.3.	It can be used in model variable-based formulas of modeling container.