========================================= Holt-Winters Double Exponential Smoothing ========================================= :doc:`/WorkProcessClassifiers/LocalAlgorithm/index` - :doc:`/WorkProcessClassifiers/OneDimensionalAlgorithm/index` *Holt-Winters Double Exponential Smoothing* algorithm is an improved version of the *Single Exponential Smoothing* algorithm. It works well when there is a a trend in the input data. The basic formulas are stated as follows: .. math:: (1) \quad s_1 = Y_0 \, \text{,} , .. math:: (2) \quad b_1 = Y_1-Y_0 \, \text{,} .. math:: (3) \quad s_t = \alpha Y_t + (1 - \alpha)(s_{t-1} + b_{t-1}), \quad t > 1 \, \text{,} .. math:: (4) \quad b_t = \beta (s_t - s_{t-1}) + (1 - \beta) b_{t-1}, \quad t > 1\, \text{,} .. math:: (5) \quad \hat{Y}_{t+m} = s_t + m b_t \, \text{,} where :math:`Y` is the data sequence beginning at time :math:`t = 0` and :math:`\hat{Y}_{t+m}` is the smoothed forecast for time :math:`t + m`\ . .. rubric:: Input Parameters +----------------------------+------------------------------------------------+------------------------------------------------+--------------------------------------------------+---------+ | Parameter | Type | Constraint | Description | Remarks | +============================+================================================+================================================+==================================================+=========+ | :math:`Y` | :math:`Y \in \mathbb R^N` | :math:`N \in \mathbb{N}` | Input data sequence of length :math:`N` | | +----------------------------+------------------------------------------------+------------------------------------------------+--------------------------------------------------+---------+ | :math:`\alpha` | :math:`\alpha \in \mathbb R` | :math:`0 \leq \alpha \leq 1` | | | +----------------------------+------------------------------------------------+------------------------------------------------+--------------------------------------------------+---------+ | :math:`\beta` | :math:`\beta \in \mathbb R` | :math:`0 \leq \beta \leq 1` | | | +----------------------------+------------------------------------------------+------------------------------------------------+--------------------------------------------------+---------+ .. rubric:: Output Parameters +----------------------------+----------------------------------------------------+------------+-------------+---------+ | Parameter | Type | Constraint | Description | Remarks | +============================+====================================================+============+=============+=========+ | :math:`\hat{Y}` | :math:`\hat{Y} \in \mathbb R^N` | | | | +----------------------------+----------------------------------------------------+------------+-------------+---------+ .. rubric:: Tool Support * :doc:`/Tools/ExcelTool/index` .. rubric:: Single Steps using the Algorithm * :doc:`/DataPreprocessing/DataCleaning/DataDenoising/DataDenoisingWithHoltWintersDoubleExponentialSmoothing/index` .. rubric:: References - NIST/SEMATECH e-Handbook of Statistical Methods `http://www.itl.nist.gov/div898/handbook `__