R in Time Series: Exponential Smoothing

This tutorial talks about the exponential smoothing and forecasts based on it.

1  Objective and Assumptions

Given a past history \(\{x_1,x_2,\cdots,x_n\}\Longrightarrow\)we want to predict some future value \(x_{n+k}\).

We assume that:

  1. We assume there is no systematic trend or seasonal effects in the process, or that these have been identified and removed.
  2. The mean of the process can change from one time step to the next, but we have no information about the likely direction of these changes.

Read more R in Time Series: Exponential Smoothing