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Holt-Winters method for exponential smoothing
Koritarová, Lenka ; Cipra, Tomáš (advisor) ; Prášková, Zuzana (referee)
"his thesis de-ls with the methods of exponenti-l smoothingF et (rst the prin iE ples of exponenti-l smoothing -re expl-inedF e fo us on -si -ppro- hesX sinE gleD dou le smoothing -nd the rolt¡s methodF "hese pro edures -re suit- le for the modeling time series without se-son-l omponentF rowever in pr- ti e there -re frequent time series with se-son-lityF por su h time series the roltE inter¡s method is usedF "his method is -sed just on the prin iples of exponenti-l smooE thingF sn the l-st p-rt of this thesisD there is demonstr-ted using this methods on re-l d-t-F
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Methods for periodic and irregular time series
Hanzák, Tomáš
Title: Methods for periodic and irregular time series Author: Mgr. Tomáš Hanzák Department: Department of Probability and Mathematical Statistics Supervisor: Prof. RNDr. Tomáš Cipra, DrSc. Abstract: The thesis primarily deals with modifications of exponential smoothing type methods for univariate time series with periodicity and/or certain types of irregularities. A modified Holt method for irregular times series robust to the problem of "time-close" observations is suggested. The general concept of seasonality modeling is introduced into Holt-Winters method including a linear interpolation of seasonal indices and usage of trigonometric functions as special cases (the both methods are applicable for irregular observations). The DLS estimation of linear trend with seasonal dummies is investigated and compared with the additive Holt-Winters method. An autocorrelated term is introduced as an additional component in the time series decomposition. The suggested methods are compared with the classical ones using real data examples and/or simulation studies. Keywords: Discounted Least Squares, Exponential smoothing, Holt-Winters method, Irregular observations, Time series periodicity
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Methods for periodic and irregular time series
Hanzák, Tomáš ; Cipra, Tomáš (advisor) ; Arlt, Josef (referee) ; Prášková, Zuzana (referee)
Title: Methods for periodic and irregular time series Author: Mgr. Tomáš Hanzák Department: Department of Probability and Mathematical Statistics Supervisor: Prof. RNDr. Tomáš Cipra, DrSc. Abstract: The thesis primarily deals with modifications of exponential smoothing type methods for univariate time series with periodicity and/or certain types of irregularities. A modified Holt method for irregular times series robust to the problem of "time-close" observations is suggested. The general concept of seasonality modeling is introduced into Holt-Winters method including a linear interpolation of seasonal indices and usage of trigonometric functions as special cases (the both methods are applicable for irregular observations). The DLS estimation of linear trend with seasonal dummies is investigated and compared with the additive Holt-Winters method. An autocorrelated term is introduced as an additional component in the time series decomposition. The suggested methods are compared with the classical ones using real data examples and/or simulation studies. Keywords: Discounted Least Squares, Exponential smoothing, Holt-Winters method, Irregular observations, Time series periodicity
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Holt-Winters method for exponential smoothing
Koritarová, Lenka ; Cipra, Tomáš (advisor) ; Prášková, Zuzana (referee)
"his thesis de-ls with the methods of exponenti-l smoothingF et (rst the prin iE ples of exponenti-l smoothing -re expl-inedF e fo us on -si -ppro- hesX sinE gleD dou le smoothing -nd the rolt¡s methodF "hese pro edures -re suit- le for the modeling time series without se-son-l omponentF rowever in pr- ti e there -re frequent time series with se-son-lityF por su h time series the roltE inter¡s method is usedF "his method is -sed just on the prin iples of exponenti-l smooE thingF sn the l-st p-rt of this thesisD there is demonstr-ted using this methods on re-l d-t-F
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Methods for periodic and irregular time series
Hanzák, Tomáš
Title: Methods for periodic and irregular time series Author: Mgr. Tomáš Hanzák Department: Department of Probability and Mathematical Statistics Supervisor: Prof. RNDr. Tomáš Cipra, DrSc. Abstract: The thesis primarily deals with modifications of exponential smoothing type methods for univariate time series with periodicity and/or certain types of irregularities. A modified Holt method for irregular times series robust to the problem of "time-close" observations is suggested. The general concept of seasonality modeling is introduced into Holt-Winters method including a linear interpolation of seasonal indices and usage of trigonometric functions as special cases (the both methods are applicable for irregular observations). The DLS estimation of linear trend with seasonal dummies is investigated and compared with the additive Holt-Winters method. An autocorrelated term is introduced as an additional component in the time series decomposition. The suggested methods are compared with the classical ones using real data examples and/or simulation studies. Keywords: Discounted Least Squares, Exponential smoothing, Holt-Winters method, Irregular observations, Time series periodicity
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