Экспоненциальное сглаживание

Экспоненциальное сглаживание — метод математического преобразования, используемый при прогнозировании временных рядов. Метод также известен как метод простого экспоненциального сглаживания, или метод Брауна[1].

где:  — сглаженный ряд,  — исходный ряд,  — коэффициент сглаживания, который обычно выбирается в пределах .

Пределы изменения постоянной сглаживания шире — от 0 до 2[2]. Для эффективного использования в прогнозировании постоянная сглаживания оптимизируется в указанных пределах. Обычно строится функция зависимости дисперсии ошибки аппроксимации модели экспоненциального сглаживания реального ряда от величины постоянной сглаживания. При оптимальной постоянной сглаживания в пределах от 0 до 1 моделируемый ряд стационарен. Интервал от 1 до 2 свидетельствует о том, что моделируемый ряд не стационарен. Когда оптимальная постоянная сглаживания равна единице, модель экспоненциального сглаживания принимает форму модели NAIV[2].

См. также

Примечания

  1. ↑ Everette S. Gardner Jr. Exponential smoothing: The state of the art // Journal of forecasting. — 1985. — Т. 4, № 1. — С. 1—28. Архивировано 31 августа 2019 года.
  2. ↑ 1 2 Светуньков С. Г. О расширении границ применения метода Брауна // Известия Санкт-Петербургского государственного университета экономики и финансов, 2002, № 3. — С. 94 — 107.

Литература

  • Грешилов А. А., Стакун В. А., Стакун А. А. Математические методы построения прогнозов. — М.: Радио и связь, 1997.- 112 с. — ISBN 5-256-01352-1.

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