ExpSmoothR

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.

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. The parameter is equal to 1 by default.

Description

It transforms variable data with the exponential smoothing method using the R package.

Comments

Integration with R must be set up in the repository to use this method. For details about integration setup see the How to Set Up Integration with R? section.

The SeasonalPeriod parameter value must be greater or equal to 4. 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
= ExpSmoothR({Chicago - population[t]}, SetPeriod("2000", "2015"), SeasonalityType.Additive, 4, TrendType.Linear, 0.1, 0, 0.1, 0)	Exponential smoothing will be executed for the Chicago - population[t] time series using the following parameters: the method calculation period - 2000-2015, additive seasonality model is used, the seasonality period length is four, the Delta and Phi parameters values are 0, the Alpha and Gamma parameters are 0.1. Calculation is executed using the R package.	It can be used in formulas of calculated series of time series database and model formulas of modeling container that is a child of the time series database.
= ExpSmoothR(X1, Null, SeasonalityType.Additive, 4,TrendType.Linear, 0.2, 0, 0.2, 0, MsCasewise.No, 0.2)	The exponential smoothing will be performed for the X1 factor using the following parameters: calculation is executed at the whole time period, additive seasonality model is applied, the seasonality period length is four, the Delta and Phi parameters are set to 0, the Alpha and Gamma parameters are set to 0.2? missing data is not treated, the grid step value is 0.2. Calculation is executed using the R package.	It can be used in model formulas of modeling container.