Double Exponential Smoothing - Example 1 (R)

Notes and Considerations

File "CH04 Example 4-2 Double Exponential Smoothing.docx" has three examples based on the same data set, all using the Holt-Winters function in R:

• simple exponential smoothing

• double exponential smoothing - one parameter

• double exponential smoothing - two parameters

This example uses the Holt-Winters function from R. Another option is the 'ets' function from the forecast package.

Extra:

• The file also has an example of finding the optimum smoothing constant (alpha = beta) for one parameter double exponential smoothing, along with graphical output.

Data Set

Table 4.2 U.S. Consumer Price Index data (CPI)

See file "DATA Montgomery TS data for chapter examples.xlsx" at the bottom of page Introduction to Time Series Analysis and Forecasting (Montgomery)

Data is also included in the R script file attached below.

Analysis or Script File

See the file "CH04 Example 4-2 Simple and Double Exponential Smoothing CPI data.R" attached below.