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Exponential Smoothing of Time Series Data in R

@machinelearnbot

This article is not about smoothing ore into gems though your may find a few gems herein. Systematic Pattern and Random Noise In "Components of Time Series Data", I discussed the components of time series data. In time series analysis, we assume that the data consist of a systematic pattern (usually a set of identifiable components) and random noise (error), which often makes the pattern difficult to identify. Most time series analysis techniques involve some form of filtering out noise to make the pattern more noticeable. Two General Aspects of Time Series Patterns Though I have discussed other components of time series data, we can describe most time series patterns in terms of two basic classes of components: trend and seasonality.


Methods to improve Time series forecast (including ARIMA, Holt's winter)

#artificialintelligence

Most of us would have heard about the new buzz in the market i.e. Many of us would have invested in their coins too. But, is investing money in such a volatile currency safe? How can we make sure that investing in these coins now would surely generate a healthy profit in the future? We can't be sure but we can surely generate an approximate value based on the previous prices. Time series models is one way to predict them.


Exponential Smoothing of Time Series Data in R

@machinelearnbot

In "Components of Time Series Data", I discussed the components of time series data. In time series analysis, we assume that the data consist of a systematic pattern (usually a set of identifiable components) and random noise (error), which often makes the pattern difficult to identify. Most time series analysis techniques involve some form of filtering out noise to make the pattern more noticeable. Though I have discussed other components of time series data, we can describe most time series patterns in terms of two basic classes of components: trend and seasonality. The former represents a general systematic linear or nonlinear component that changes over time and does not repeat, or at least does not repeat within the time range captured by our data (e.g., a plateau followed by a period of exponential growth).


Exponential Smoothing of Time Series Data in R

@machinelearnbot

In "Components of Time Series Data", I discussed the components of time series data. In time series analysis, we assume that the data consist of a systematic pattern (usually a set of identifiable components) and random noise (error), which often makes the pattern difficult to identify. Most time series analysis techniques involve some form of filtering out noise to make the pattern more noticeable.


Mixed pooling of seasonality in time series pallet forecasting

arXiv.org Machine Learning

Multiple seasonal patterns play a key role in time series forecasting, especially for business time series where seasonal effects are often dramatic. Previous approaches including Fourier decomposition, exponential smoothing, and seasonal autoregressive integrated moving average (SARIMA) models do not reflect the distinct characteristics of each period in seasonal patterns, such as the unique behavior of specific days of the week in business data. We propose a multi-dimensional hierarchical model. Intermediate parameters for each seasonal period are first estimated, and a mixture of intermediate parameters is then taken, resulting in a model that successfully reflects the interactions between multiple seasonal patterns. Although this process reduces the data available for each parameter, a robust estimation can be obtained through a hierarchical Bayesian model implemented in Stan. Through this model, it becomes possible to consider both the characteristics of each seasonal period and the interactions among characteristics from multiple seasonal periods. Our new model achieved considerable improvements in prediction accuracy compared to previous models, including Fourier decomposition, which Prophet uses to model seasonality patterns. A comparison was performed on a real-world dataset of pallet transport from a national-scale logistic network.