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6.
Process or Product Monitoring and Control
6.4. Introduction to Time Series Analysis
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| Exponential smoothing schemes weight past observations using exponentially decreasing weights | This is a very popular scheme
to produce a smoothed Time Series. Whereas in Single Moving Averages the
past observations are weighted equally, Exponential Smoothing assigns
exponentially decreasing weights as the observation get older.
In other words, recent observations are given relatively more weight in forecasting then the older observations. In the case of moving averages the weights assigned to the observations are the same and equal to 1/N. In exponential smoothing, however, there are one or more smoothing parameters to be determined (or estimated) and these choices determine the weights assigned to the observations. Single, double and triple Exponential Smoothing will be described in this section. |
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