Stats Master VCL
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Single exponential forecast.
Parameters |
Description |
Y |
Time series data set. |
YHat |
Time series forecasts. Size of the YHat vector are adjusted automatically. |
Alpha |
Overal smoothing parameter used for forecast. |
T |
Forecast values up to T period. |
InitMethod |
Defines how the initial values for S[0] are calculated. |
Forecasts time series values by using single exponential smoothing equations. For single exponential smoothing, the h period ahead forecast is given by:
Load data, assume Alpha is 0.33, forecast 20 points past the last value.
Uses MtxExpr, StatTimeSerAnalysis, Math387; procedure Example; var Data,YHat: Vector; T: Integer; NumPoints: Integer; Residuals: TVec; begin NumPoints := 20; Data.LoadFromFile('aerosol_particles.vec'); // last point period = Data.Length-1 + NumPoints T := Data.Length-1+NumPoints; SingleExpForecast(Data,YHat,0.33,T,0); // YHat now stores estimates for YHat[1,...Length-1] // so, if we need residuals, we have to subtract // these values from y[1,...,Length-1) Residuals.Size(YHat); Residuals.Sub(Y,YHat,1,0,0,YHat.Length); end;
#include "MtxExpr.hpp" #include "Math387.hpp" #include "StatTimeSerAnalysis.hpp" void __fastcall Example(); { sVector Data,YHat, Residuals; int NumPoints = 20; Data.LoadFromFile("aerosol_particles.vec"); // last point period = Data.Length-1 + NumPoints int T = Data.Length-1+NumPoints; SingleExpForecast(Data,YHat,0.33,T,0); // YHat now stores estimates for YHat[1,...Length-1] // so, if we need residuals, we have to subtract // these values from y[1,...,Length-1) Residuals.Size(YHat); Residuals.Sub(Y,YHat,1,0,0,YHat.Length); }
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