Cara menggunakan python single exponential smoothing

Let us consider chapter 7 of the excellent treatise on the subject of Exponential Smoothing By Hyndman and Athanasopoulos [1]. We will work through all the examples in the chapter as they unfold.

Table of Contents Show

Loading data
Simple Exponential Smoothing
Holt’s Method
Seasonally adjusted data
Plots of Seasonally Adjusted Data
Holt’s Winters Seasonal
The Internals
Langkah langkah metode exponential smoothing?
Apakah metode single exponential smoothing?
Kapan menggunakan exponential smoothing?
Apa yang dimaksud dengan exponential smoothing?

[1] Hyndman, Rob J., and George Athanasopoulos. Forecasting: principles and practice. OTexts, 2014.

Loading data

First we load some data. We have included the R data in the notebook for expedience.

[1]:

import os
import numpy as np
import pandas as pd
import matplotlib.pyplot as plt
from statsmodels.tsa.api import ExponentialSmoothing, SimpleExpSmoothing, Holt

%matplotlib inline

data = [
    446.6565,
    454.4733,
    455.663,
    423.6322,
    456.2713,
    440.5881,
    425.3325,
    485.1494,
    506.0482,
    526.792,
    514.2689,
    494.211,
]
index = pd.date_range(start="1996", end="2008", freq="A")
oildata = pd.Series(data, index)

data = [
    17.5534,
    21.86,
    23.8866,
    26.9293,
    26.8885,
    28.8314,
    30.0751,
    30.9535,
    30.1857,
    31.5797,
    32.5776,
    33.4774,
    39.0216,
    41.3864,
    41.5966,
]
index = pd.date_range(start="1990", end="2005", freq="A")
air = pd.Series(data, index)

data = [
    263.9177,
    268.3072,
    260.6626,
    266.6394,
    277.5158,
    283.834,
    290.309,
    292.4742,
    300.8307,
    309.2867,
    318.3311,
    329.3724,
    338.884,
    339.2441,
    328.6006,
    314.2554,
    314.4597,
    321.4138,
    329.7893,
    346.3852,
    352.2979,
    348.3705,
    417.5629,
    417.1236,
    417.7495,
    412.2339,
    411.9468,
    394.6971,
    401.4993,
    408.2705,
    414.2428,
]
index = pd.date_range(start="1970", end="2001", freq="A")
livestock2 = pd.Series(data, index)

data = [407.9979, 403.4608, 413.8249, 428.105, 445.3387, 452.9942, 455.7402]
index = pd.date_range(start="2001", end="2008", freq="A")
livestock3 = pd.Series(data, index)

data = [
    41.7275,
    24.0418,
    32.3281,
    37.3287,
    46.2132,
    29.3463,
    36.4829,
    42.9777,
    48.9015,
    31.1802,
    37.7179,
    40.4202,
    51.2069,
    31.8872,
    40.9783,
    43.7725,
    55.5586,
    33.8509,
    42.0764,
    45.6423,
    59.7668,
    35.1919,
    44.3197,
    47.9137,
]
index = pd.date_range(start="2005", end="2010-Q4", freq="QS-OCT")
aust = pd.Series(data, index)

Simple Exponential Smoothing

Lets use Simple Exponential Smoothing to forecast the below oil data.

[2]:

ax = oildata.plot()
ax.set_xlabel("Year")
ax.set_ylabel("Oil (millions of tonnes)")
print("Figure 7.1: Oil production in Saudi Arabia from 1996 to 2007.")

Figure 7.1: Oil production in Saudi Arabia from 1996 to 2007.

Here we run three variants of simple exponential smoothing: 1. In

Figure 7.1: Oil production in Saudi Arabia from 1996 to 2007.

2 we do not use the auto optimization but instead choose to explicitly provide the model with the $\alpha=0.2$ parameter 2. In

Figure 7.1: Oil production in Saudi Arabia from 1996 to 2007.

3 as above we choose an $\alpha=0.6$ 3. In

Figure 7.1: Oil production in Saudi Arabia from 1996 to 2007.

4 we allow statsmodels to automatically find an optimized $\alpha$ value for us. This is the recommended approach.

[3]:

fit1 = SimpleExpSmoothing(oildata, initialization_method="heuristic").fit(
    smoothing_level=0.2, optimized=False
)
fcast1 = fit1.forecast(3).rename(r"$\alpha=0.2$")
fit2 = SimpleExpSmoothing(oildata, initialization_method="heuristic").fit(
    smoothing_level=0.6, optimized=False
)
fcast2 = fit2.forecast(3).rename(r"$\alpha=0.6$")
fit3 = SimpleExpSmoothing(oildata, initialization_method="estimated").fit()
fcast3 = fit3.forecast(3).rename(r"$\alpha=%s$" % fit3.model.params["smoothing_level"])

plt.figure(figsize=(12, 8))
plt.plot(oildata, marker="o", color="black")
plt.plot(fit1.fittedvalues, marker="o", color="blue")
(line1,) = plt.plot(fcast1, marker="o", color="blue")
plt.plot(fit2.fittedvalues, marker="o", color="red")
(line2,) = plt.plot(fcast2, marker="o", color="red")
plt.plot(fit3.fittedvalues, marker="o", color="green")
(line3,) = plt.plot(fcast3, marker="o", color="green")
plt.legend([line1, line2, line3], [fcast1.name, fcast2.name, fcast3.name])

[3]:

<matplotlib.legend.Legend at 0x7f0627052860>

Holt’s Method

Lets take a look at another example. This time we use air pollution data and the Holt’s Method. We will fit three examples again. 1. In

Figure 7.1: Oil production in Saudi Arabia from 1996 to 2007.

2 we again choose not to use the optimizer and provide explicit values for $\alpha=0.8$ and $\beta=0.2$ 2. In

Figure 7.1: Oil production in Saudi Arabia from 1996 to 2007.

3 we do the same as in

Figure 7.1: Oil production in Saudi Arabia from 1996 to 2007.

2 but choose to use an exponential model rather than a Holt’s additive model. 3. In

Figure 7.1: Oil production in Saudi Arabia from 1996 to 2007.

4 we used a damped versions of the Holt’s additive model but allow the dampening parameter $\phi$ to be optimized while fixing the values for $\alpha=0.8$ and $\beta=0.2$

[4]:

import os
import numpy as np
import pandas as pd
import matplotlib.pyplot as plt
from statsmodels.tsa.api import ExponentialSmoothing, SimpleExpSmoothing, Holt

%matplotlib inline

data = [
    446.6565,
    454.4733,
    455.663,
    423.6322,
    456.2713,
    440.5881,
    425.3325,
    485.1494,
    506.0482,
    526.792,
    514.2689,
    494.211,
]
index = pd.date_range(start="1996", end="2008", freq="A")
oildata = pd.Series(data, index)

data = [
    17.5534,
    21.86,
    23.8866,
    26.9293,
    26.8885,
    28.8314,
    30.0751,
    30.9535,
    30.1857,
    31.5797,
    32.5776,
    33.4774,
    39.0216,
    41.3864,
    41.5966,
]
index = pd.date_range(start="1990", end="2005", freq="A")
air = pd.Series(data, index)

data = [
    263.9177,
    268.3072,
    260.6626,
    266.6394,
    277.5158,
    283.834,
    290.309,
    292.4742,
    300.8307,
    309.2867,
    318.3311,
    329.3724,
    338.884,
    339.2441,
    328.6006,
    314.2554,
    314.4597,
    321.4138,
    329.7893,
    346.3852,
    352.2979,
    348.3705,
    417.5629,
    417.1236,
    417.7495,
    412.2339,
    411.9468,
    394.6971,
    401.4993,
    408.2705,
    414.2428,
]
index = pd.date_range(start="1970", end="2001", freq="A")
livestock2 = pd.Series(data, index)

data = [407.9979, 403.4608, 413.8249, 428.105, 445.3387, 452.9942, 455.7402]
index = pd.date_range(start="2001", end="2008", freq="A")
livestock3 = pd.Series(data, index)

data = [
    41.7275,
    24.0418,
    32.3281,
    37.3287,
    46.2132,
    29.3463,
    36.4829,
    42.9777,
    48.9015,
    31.1802,
    37.7179,
    40.4202,
    51.2069,
    31.8872,
    40.9783,
    43.7725,
    55.5586,
    33.8509,
    42.0764,
    45.6423,
    59.7668,
    35.1919,
    44.3197,
    47.9137,
]
index = pd.date_range(start="2005", end="2010-Q4", freq="QS-OCT")
aust = pd.Series(data, index)

[4]:

import os
import numpy as np
import pandas as pd
import matplotlib.pyplot as plt
from statsmodels.tsa.api import ExponentialSmoothing, SimpleExpSmoothing, Holt

%matplotlib inline

data = [
    446.6565,
    454.4733,
    455.663,
    423.6322,
    456.2713,
    440.5881,
    425.3325,
    485.1494,
    506.0482,
    526.792,
    514.2689,
    494.211,
]
index = pd.date_range(start="1996", end="2008", freq="A")
oildata = pd.Series(data, index)

data = [
    17.5534,
    21.86,
    23.8866,
    26.9293,
    26.8885,
    28.8314,
    30.0751,
    30.9535,
    30.1857,
    31.5797,
    32.5776,
    33.4774,
    39.0216,
    41.3864,
    41.5966,
]
index = pd.date_range(start="1990", end="2005", freq="A")
air = pd.Series(data, index)

data = [
    263.9177,
    268.3072,
    260.6626,
    266.6394,
    277.5158,
    283.834,
    290.309,
    292.4742,
    300.8307,
    309.2867,
    318.3311,
    329.3724,
    338.884,
    339.2441,
    328.6006,
    314.2554,
    314.4597,
    321.4138,
    329.7893,
    346.3852,
    352.2979,
    348.3705,
    417.5629,
    417.1236,
    417.7495,
    412.2339,
    411.9468,
    394.6971,
    401.4993,
    408.2705,
    414.2428,
]
index = pd.date_range(start="1970", end="2001", freq="A")
livestock2 = pd.Series(data, index)

data = [407.9979, 403.4608, 413.8249, 428.105, 445.3387, 452.9942, 455.7402]
index = pd.date_range(start="2001", end="2008", freq="A")
livestock3 = pd.Series(data, index)

data = [
    41.7275,
    24.0418,
    32.3281,
    37.3287,
    46.2132,
    29.3463,
    36.4829,
    42.9777,
    48.9015,
    31.1802,
    37.7179,
    40.4202,
    51.2069,
    31.8872,
    40.9783,
    43.7725,
    55.5586,
    33.8509,
    42.0764,
    45.6423,
    59.7668,
    35.1919,
    44.3197,
    47.9137,
]
index = pd.date_range(start="2005", end="2010-Q4", freq="QS-OCT")
aust = pd.Series(data, index)

Seasonally adjusted data

Lets look at some seasonally adjusted livestock data. We fit five Holt’s models. The below table allows us to compare results when we use exponential versus additive and damped versus non-damped.

Note:

Figure 7.1: Oil production in Saudi Arabia from 1996 to 2007.

9 does not allow the parameter $\phi$ to be optimized by providing a fixed value of $\phi=0.98$

import os
import numpy as np
import pandas as pd
import matplotlib.pyplot as plt
from statsmodels.tsa.api import ExponentialSmoothing, SimpleExpSmoothing, Holt

%matplotlib inline

data = [
    446.6565,
    454.4733,
    455.663,
    423.6322,
    456.2713,
    440.5881,
    425.3325,
    485.1494,
    506.0482,
    526.792,
    514.2689,
    494.211,
]
index = pd.date_range(start="1996", end="2008", freq="A")
oildata = pd.Series(data, index)

data = [
    17.5534,
    21.86,
    23.8866,
    26.9293,
    26.8885,
    28.8314,
    30.0751,
    30.9535,
    30.1857,
    31.5797,
    32.5776,
    33.4774,
    39.0216,
    41.3864,
    41.5966,
]
index = pd.date_range(start="1990", end="2005", freq="A")
air = pd.Series(data, index)

data = [
    263.9177,
    268.3072,
    260.6626,
    266.6394,
    277.5158,
    283.834,
    290.309,
    292.4742,
    300.8307,
    309.2867,
    318.3311,
    329.3724,
    338.884,
    339.2441,
    328.6006,
    314.2554,
    314.4597,
    321.4138,
    329.7893,
    346.3852,
    352.2979,
    348.3705,
    417.5629,
    417.1236,
    417.7495,
    412.2339,
    411.9468,
    394.6971,
    401.4993,
    408.2705,
    414.2428,
]
index = pd.date_range(start="1970", end="2001", freq="A")
livestock2 = pd.Series(data, index)

data = [407.9979, 403.4608, 413.8249, 428.105, 445.3387, 452.9942, 455.7402]
index = pd.date_range(start="2001", end="2008", freq="A")
livestock3 = pd.Series(data, index)

data = [
    41.7275,
    24.0418,
    32.3281,
    37.3287,
    46.2132,
    29.3463,
    36.4829,
    42.9777,
    48.9015,
    31.1802,
    37.7179,
    40.4202,
    51.2069,
    31.8872,
    40.9783,
    43.7725,
    55.5586,
    33.8509,
    42.0764,
    45.6423,
    59.7668,
    35.1919,
    44.3197,
    47.9137,
]
index = pd.date_range(start="2005", end="2010-Q4", freq="QS-OCT")
aust = pd.Series(data, index)

import os
import numpy as np
import pandas as pd
import matplotlib.pyplot as plt
from statsmodels.tsa.api import ExponentialSmoothing, SimpleExpSmoothing, Holt

%matplotlib inline

data = [
    446.6565,
    454.4733,
    455.663,
    423.6322,
    456.2713,
    440.5881,
    425.3325,
    485.1494,
    506.0482,
    526.792,
    514.2689,
    494.211,
]
index = pd.date_range(start="1996", end="2008", freq="A")
oildata = pd.Series(data, index)

data = [
    17.5534,
    21.86,
    23.8866,
    26.9293,
    26.8885,
    28.8314,
    30.0751,
    30.9535,
    30.1857,
    31.5797,
    32.5776,
    33.4774,
    39.0216,
    41.3864,
    41.5966,
]
index = pd.date_range(start="1990", end="2005", freq="A")
air = pd.Series(data, index)

data = [
    263.9177,
    268.3072,
    260.6626,
    266.6394,
    277.5158,
    283.834,
    290.309,
    292.4742,
    300.8307,
    309.2867,
    318.3311,
    329.3724,
    338.884,
    339.2441,
    328.6006,
    314.2554,
    314.4597,
    321.4138,
    329.7893,
    346.3852,
    352.2979,
    348.3705,
    417.5629,
    417.1236,
    417.7495,
    412.2339,
    411.9468,
    394.6971,
    401.4993,
    408.2705,
    414.2428,
]
index = pd.date_range(start="1970", end="2001", freq="A")
livestock2 = pd.Series(data, index)

data = [407.9979, 403.4608, 413.8249, 428.105, 445.3387, 452.9942, 455.7402]
index = pd.date_range(start="2001", end="2008", freq="A")
livestock3 = pd.Series(data, index)

data = [
    41.7275,
    24.0418,
    32.3281,
    37.3287,
    46.2132,
    29.3463,
    36.4829,
    42.9777,
    48.9015,
    31.1802,
    37.7179,
    40.4202,
    51.2069,
    31.8872,
    40.9783,
    43.7725,
    55.5586,
    33.8509,
    42.0764,
    45.6423,
    59.7668,
    35.1919,
    44.3197,
    47.9137,
]
index = pd.date_range(start="2005", end="2010-Q4", freq="QS-OCT")
aust = pd.Series(data, index)

import os
import numpy as np
import pandas as pd
import matplotlib.pyplot as plt
from statsmodels.tsa.api import ExponentialSmoothing, SimpleExpSmoothing, Holt

%matplotlib inline

data = [
    446.6565,
    454.4733,
    455.663,
    423.6322,
    456.2713,
    440.5881,
    425.3325,
    485.1494,
    506.0482,
    526.792,
    514.2689,
    494.211,
]
index = pd.date_range(start="1996", end="2008", freq="A")
oildata = pd.Series(data, index)

data = [
    17.5534,
    21.86,
    23.8866,
    26.9293,
    26.8885,
    28.8314,
    30.0751,
    30.9535,
    30.1857,
    31.5797,
    32.5776,
    33.4774,
    39.0216,
    41.3864,
    41.5966,
]
index = pd.date_range(start="1990", end="2005", freq="A")
air = pd.Series(data, index)

data = [
    263.9177,
    268.3072,
    260.6626,
    266.6394,
    277.5158,
    283.834,
    290.309,
    292.4742,
    300.8307,
    309.2867,
    318.3311,
    329.3724,
    338.884,
    339.2441,
    328.6006,
    314.2554,
    314.4597,
    321.4138,
    329.7893,
    346.3852,
    352.2979,
    348.3705,
    417.5629,
    417.1236,
    417.7495,
    412.2339,
    411.9468,
    394.6971,
    401.4993,
    408.2705,
    414.2428,
]
index = pd.date_range(start="1970", end="2001", freq="A")
livestock2 = pd.Series(data, index)

data = [407.9979, 403.4608, 413.8249, 428.105, 445.3387, 452.9942, 455.7402]
index = pd.date_range(start="2001", end="2008", freq="A")
livestock3 = pd.Series(data, index)

data = [
    41.7275,
    24.0418,
    32.3281,
    37.3287,
    46.2132,
    29.3463,
    36.4829,
    42.9777,
    48.9015,
    31.1802,
    37.7179,
    40.4202,
    51.2069,
    31.8872,
    40.9783,
    43.7725,
    55.5586,
    33.8509,
    42.0764,
    45.6423,
    59.7668,
    35.1919,
    44.3197,
    47.9137,
]
index = pd.date_range(start="2005", end="2010-Q4", freq="QS-OCT")
aust = pd.Series(data, index)

SESHolt'sExponentialAdditiveMultiplicative$\alpha$1.0000000.9743089.776329e-010.9788520.974891$\beta$NaN0.0000004.016578e-120.0000000.000000$\phi$NaNNaNNaN0.9800000.981637$l_0$263.917688258.8826002.603440e+02257.357526258.940454$b_0$NaN5.0107831.013780e+006.6447411.038159SSE6761.3502356004.1382006.104195e+036036.5550056081.995166

Plots of Seasonally Adjusted Data

The following plots allow us to evaluate the level and slope/trend components of the above table’s fits.

import os
import numpy as np
import pandas as pd
import matplotlib.pyplot as plt
from statsmodels.tsa.api import ExponentialSmoothing, SimpleExpSmoothing, Holt

%matplotlib inline

data = [
    446.6565,
    454.4733,
    455.663,
    423.6322,
    456.2713,
    440.5881,
    425.3325,
    485.1494,
    506.0482,
    526.792,
    514.2689,
    494.211,
]
index = pd.date_range(start="1996", end="2008", freq="A")
oildata = pd.Series(data, index)

data = [
    17.5534,
    21.86,
    23.8866,
    26.9293,
    26.8885,
    28.8314,
    30.0751,
    30.9535,
    30.1857,
    31.5797,
    32.5776,
    33.4774,
    39.0216,
    41.3864,
    41.5966,
]
index = pd.date_range(start="1990", end="2005", freq="A")
air = pd.Series(data, index)

data = [
    263.9177,
    268.3072,
    260.6626,
    266.6394,
    277.5158,
    283.834,
    290.309,
    292.4742,
    300.8307,
    309.2867,
    318.3311,
    329.3724,
    338.884,
    339.2441,
    328.6006,
    314.2554,
    314.4597,
    321.4138,
    329.7893,
    346.3852,
    352.2979,
    348.3705,
    417.5629,
    417.1236,
    417.7495,
    412.2339,
    411.9468,
    394.6971,
    401.4993,
    408.2705,
    414.2428,
]
index = pd.date_range(start="1970", end="2001", freq="A")
livestock2 = pd.Series(data, index)

data = [407.9979, 403.4608, 413.8249, 428.105, 445.3387, 452.9942, 455.7402]
index = pd.date_range(start="2001", end="2008", freq="A")
livestock3 = pd.Series(data, index)

data = [
    41.7275,
    24.0418,
    32.3281,
    37.3287,
    46.2132,
    29.3463,
    36.4829,
    42.9777,
    48.9015,
    31.1802,
    37.7179,
    40.4202,
    51.2069,
    31.8872,
    40.9783,
    43.7725,
    55.5586,
    33.8509,
    42.0764,
    45.6423,
    59.7668,
    35.1919,
    44.3197,
    47.9137,
]
index = pd.date_range(start="2005", end="2010-Q4", freq="QS-OCT")
aust = pd.Series(data, index)

import os
import numpy as np
import pandas as pd
import matplotlib.pyplot as plt
from statsmodels.tsa.api import ExponentialSmoothing, SimpleExpSmoothing, Holt

%matplotlib inline

data = [
    446.6565,
    454.4733,
    455.663,
    423.6322,
    456.2713,
    440.5881,
    425.3325,
    485.1494,
    506.0482,
    526.792,
    514.2689,
    494.211,
]
index = pd.date_range(start="1996", end="2008", freq="A")
oildata = pd.Series(data, index)

data = [
    17.5534,
    21.86,
    23.8866,
    26.9293,
    26.8885,
    28.8314,
    30.0751,
    30.9535,
    30.1857,
    31.5797,
    32.5776,
    33.4774,
    39.0216,
    41.3864,
    41.5966,
]
index = pd.date_range(start="1990", end="2005", freq="A")
air = pd.Series(data, index)

data = [
    263.9177,
    268.3072,
    260.6626,
    266.6394,
    277.5158,
    283.834,
    290.309,
    292.4742,
    300.8307,
    309.2867,
    318.3311,
    329.3724,
    338.884,
    339.2441,
    328.6006,
    314.2554,
    314.4597,
    321.4138,
    329.7893,
    346.3852,
    352.2979,
    348.3705,
    417.5629,
    417.1236,
    417.7495,
    412.2339,
    411.9468,
    394.6971,
    401.4993,
    408.2705,
    414.2428,
]
index = pd.date_range(start="1970", end="2001", freq="A")
livestock2 = pd.Series(data, index)

data = [407.9979, 403.4608, 413.8249, 428.105, 445.3387, 452.9942, 455.7402]
index = pd.date_range(start="2001", end="2008", freq="A")
livestock3 = pd.Series(data, index)

data = [
    41.7275,
    24.0418,
    32.3281,
    37.3287,
    46.2132,
    29.3463,
    36.4829,
    42.9777,
    48.9015,
    31.1802,
    37.7179,
    40.4202,
    51.2069,
    31.8872,
    40.9783,
    43.7725,
    55.5586,
    33.8509,
    42.0764,
    45.6423,
    59.7668,
    35.1919,
    44.3197,
    47.9137,
]
index = pd.date_range(start="2005", end="2010-Q4", freq="QS-OCT")
aust = pd.Series(data, index)

import os
import numpy as np
import pandas as pd
import matplotlib.pyplot as plt
from statsmodels.tsa.api import ExponentialSmoothing, SimpleExpSmoothing, Holt

%matplotlib inline

data = [
    446.6565,
    454.4733,
    455.663,
    423.6322,
    456.2713,
    440.5881,
    425.3325,
    485.1494,
    506.0482,
    526.792,
    514.2689,
    494.211,
]
index = pd.date_range(start="1996", end="2008", freq="A")
oildata = pd.Series(data, index)

data = [
    17.5534,
    21.86,
    23.8866,
    26.9293,
    26.8885,
    28.8314,
    30.0751,
    30.9535,
    30.1857,
    31.5797,
    32.5776,
    33.4774,
    39.0216,
    41.3864,
    41.5966,
]
index = pd.date_range(start="1990", end="2005", freq="A")
air = pd.Series(data, index)

data = [
    263.9177,
    268.3072,
    260.6626,
    266.6394,
    277.5158,
    283.834,
    290.309,
    292.4742,
    300.8307,
    309.2867,
    318.3311,
    329.3724,
    338.884,
    339.2441,
    328.6006,
    314.2554,
    314.4597,
    321.4138,
    329.7893,
    346.3852,
    352.2979,
    348.3705,
    417.5629,
    417.1236,
    417.7495,
    412.2339,
    411.9468,
    394.6971,
    401.4993,
    408.2705,
    414.2428,
]
index = pd.date_range(start="1970", end="2001", freq="A")
livestock2 = pd.Series(data, index)

data = [407.9979, 403.4608, 413.8249, 428.105, 445.3387, 452.9942, 455.7402]
index = pd.date_range(start="2001", end="2008", freq="A")
livestock3 = pd.Series(data, index)

data = [
    41.7275,
    24.0418,
    32.3281,
    37.3287,
    46.2132,
    29.3463,
    36.4829,
    42.9777,
    48.9015,
    31.1802,
    37.7179,
    40.4202,
    51.2069,
    31.8872,
    40.9783,
    43.7725,
    55.5586,
    33.8509,
    42.0764,
    45.6423,
    59.7668,
    35.1919,
    44.3197,
    47.9137,
]
index = pd.date_range(start="2005", end="2010-Q4", freq="QS-OCT")
aust = pd.Series(data, index)

Comparison

Here we plot a comparison Simple Exponential Smoothing and Holt’s Methods for various additive, exponential and damped combinations. All of the models parameters will be optimized by statsmodels.

import os
import numpy as np
import pandas as pd
import matplotlib.pyplot as plt
from statsmodels.tsa.api import ExponentialSmoothing, SimpleExpSmoothing, Holt

%matplotlib inline

data = [
    446.6565,
    454.4733,
    455.663,
    423.6322,
    456.2713,
    440.5881,
    425.3325,
    485.1494,
    506.0482,
    526.792,
    514.2689,
    494.211,
]
index = pd.date_range(start="1996", end="2008", freq="A")
oildata = pd.Series(data, index)

data = [
    17.5534,
    21.86,
    23.8866,
    26.9293,
    26.8885,
    28.8314,
    30.0751,
    30.9535,
    30.1857,
    31.5797,
    32.5776,
    33.4774,
    39.0216,
    41.3864,
    41.5966,
]
index = pd.date_range(start="1990", end="2005", freq="A")
air = pd.Series(data, index)

data = [
    263.9177,
    268.3072,
    260.6626,
    266.6394,
    277.5158,
    283.834,
    290.309,
    292.4742,
    300.8307,
    309.2867,
    318.3311,
    329.3724,
    338.884,
    339.2441,
    328.6006,
    314.2554,
    314.4597,
    321.4138,
    329.7893,
    346.3852,
    352.2979,
    348.3705,
    417.5629,
    417.1236,
    417.7495,
    412.2339,
    411.9468,
    394.6971,
    401.4993,
    408.2705,
    414.2428,
]
index = pd.date_range(start="1970", end="2001", freq="A")
livestock2 = pd.Series(data, index)

data = [407.9979, 403.4608, 413.8249, 428.105, 445.3387, 452.9942, 455.7402]
index = pd.date_range(start="2001", end="2008", freq="A")
livestock3 = pd.Series(data, index)

data = [
    41.7275,
    24.0418,
    32.3281,
    37.3287,
    46.2132,
    29.3463,
    36.4829,
    42.9777,
    48.9015,
    31.1802,
    37.7179,
    40.4202,
    51.2069,
    31.8872,
    40.9783,
    43.7725,
    55.5586,
    33.8509,
    42.0764,
    45.6423,
    59.7668,
    35.1919,
    44.3197,
    47.9137,
]
index = pd.date_range(start="2005", end="2010-Q4", freq="QS-OCT")
aust = pd.Series(data, index)

[2]:

[2]:

Holt’s Winters Seasonal

Finally we are able to run full Holt’s Winters Seasonal Exponential Smoothing including a trend component and a seasonal component. statsmodels allows for all the combinations including as shown in the examples below: 1.

Figure 7.1: Oil production in Saudi Arabia from 1996 to 2007.

2 additive trend, additive seasonal of period

[3]:

1 and the use of a Box-Cox transformation. 1.

Figure 7.1: Oil production in Saudi Arabia from 1996 to 2007.

3 additive trend, multiplicative seasonal of period

[3]:

1 and the use of a Box-Cox transformation.. 1.

Figure 7.1: Oil production in Saudi Arabia from 1996 to 2007.

4 additive damped trend, additive seasonal of period

[3]:

1 and the use of a Box-Cox transformation. 1.

Figure 7.1: Oil production in Saudi Arabia from 1996 to 2007.

9 additive damped trend, multiplicative seasonal of period

[3]:

1 and the use of a Box-Cox transformation.

The plot shows the results and forecast for

Figure 7.1: Oil production in Saudi Arabia from 1996 to 2007.

2 and

Figure 7.1: Oil production in Saudi Arabia from 1996 to 2007.

3. The table allows us to compare the results and parameterizations.

[2]:

[2]:

[2]:

[2]:

AdditiveMultiplicativeAdditive DamMultiplica Dam$\alpha$1.490116e-081.490116e-081.490116e-081.490116e-08$\beta$1.409865e-080.000000e+006.490761e-095.042250e-09$\phi$NaNNaN9.430416e-019.536043e-01$\gamma$7.544975e-161.889367e-157.434023e-161.273086e-16$l_0$1.119348e+011.106376e+011.084022e+019.899296e+00$b_0$1.205396e-011.198957e-012.456749e-011.975447e-01SSE4.402746e+013.611262e+013.527620e+013.062033e+01

The Internals

It is possible to get at the internals of the Exponential Smoothing models.

Here we show some tables that allow you to view side by side the original values $y_t$, the level $l_t$, the trend $b_t$, the season $s_t$ and the fitted values $\hat{y}_t$. Note that these values only have meaningful values in the space of your original data if the fit is performed without a Box-Cox transformation.

[2]:

[2]:

[2]:

[2]:

ax = oildata.plot()
ax.set_xlabel("Year")
ax.set_ylabel("Oil (millions of tonnes)")
print("Figure 7.1: Oil production in Saudi Arabia from 1996 to 2007.")

[2]:

$\hat{y}_t$$b_t$$l_t$$s_t$$y_t$2005-01-0144.5841280.59782234.29758010.28654841.72752005-04-0124.9381890.59782234.895402-9.95721324.04182005-07-0133.0057650.59782235.493224-2.48745832.32812005-10-0137.0311070.59782236.0910460.94006237.32872006-01-0146.9754150.59782236.68886810.28654846.21322006-04-0127.3294770.59782237.286690-9.95721329.34632006-07-0135.3970530.59782237.884512-2.48745836.48292006-10-0139.4223950.59782238.4823340.94006242.97772007-01-0149.3667030.59782239.08015610.28654848.90152007-04-0129.7207650.59782239.677978-9.95721331.18022007-07-0137.7883410.59782240.275800-2.48745837.71792007-10-0141.8136830.59782240.8736220.94006240.42022008-01-0151.7579910.59782241.47144410.28654851.20692008-04-0132.1120530.59782242.069266-9.95721331.88722008-07-0140.1796290.59782242.667088-2.48745840.97832008-10-0144.2049710.59782243.2649100.94006243.77252009-01-0154.1492790.59782243.86273210.28654855.55862009-04-0134.5033410.59782244.460554-9.95721333.85092009-07-0142.5709170.59782245.058376-2.48745842.07642009-10-0146.5962590.59782245.6561970.94006245.64232010-01-0156.5405670.59782246.25402010.28654859.76682010-04-0136.8946280.59782246.851841-9.95721335.19192010-07-0144.9622050.59782247.449663-2.48745844.31972010-10-0148.9875470.59782248.0474850.94006247.91372011-01-0158.931855NaNNaNNaNNaN2011-04-0139.285916NaNNaNNaNNaN2011-07-0147.353493NaNNaNNaNNaN2011-10-0151.378835NaNNaNNaNNaN2012-01-0161.323143NaNNaNNaNNaN2012-04-0141.677204NaNNaNNaNNaN2012-07-0149.744781NaNNaNNaNNaN2012-10-0153.770123NaNNaNNaNNaN

ax = oildata.plot()
ax.set_xlabel("Year")
ax.set_ylabel("Oil (millions of tonnes)")
print("Figure 7.1: Oil production in Saudi Arabia from 1996 to 2007.")

ax = oildata.plot()
ax.set_xlabel("Year")
ax.set_ylabel("Oil (millions of tonnes)")
print("Figure 7.1: Oil production in Saudi Arabia from 1996 to 2007.")

ax = oildata.plot()
ax.set_xlabel("Year")
ax.set_ylabel("Oil (millions of tonnes)")
print("Figure 7.1: Oil production in Saudi Arabia from 1996 to 2007.")

ax = oildata.plot()
ax.set_xlabel("Year")
ax.set_ylabel("Oil (millions of tonnes)")
print("Figure 7.1: Oil production in Saudi Arabia from 1996 to 2007.")

$\hat{y}_t$$b_t$$l_t$$s_t$$y_t$2005-01-0143.0053880.62093435.0160021.22816441.72752005-04-0126.3529490.62093435.6369360.73948424.04182005-07-0133.2847280.62093436.2578700.91800032.32812005-10-0136.7195080.62093436.8788040.99568137.32872006-01-0146.0558230.62093437.4997381.22816446.21322006-04-0128.1896330.62093438.1206720.73948429.34632006-07-0135.5647990.62093438.7416060.91800036.48292006-10-0139.1925160.62093439.3625400.99568142.97772007-01-0149.1062580.62093439.9834741.22816448.90152007-04-0130.0263160.62093440.6044080.73948431.18022007-07-0137.8448690.62093441.2253420.91800037.71792007-10-0141.6655240.62093441.8462770.99568140.42022008-01-0152.1566930.62093442.4672111.22816451.20692008-04-0131.8630000.62093443.0881450.73948431.88722008-07-0140.1249390.62093443.7090790.91800040.97832008-10-0144.1385310.62093444.3300130.99568143.77252009-01-0155.2071280.62093444.9509471.22816455.55862009-04-0133.6996830.62093445.5718810.73948433.85092009-07-0142.4050090.62093446.1928150.91800042.07642009-10-0146.6115390.62093446.8137490.99568145.64232010-01-0158.2575630.62093447.4346831.22816459.76682010-04-0135.5363670.62093448.0556170.73948435.19192010-07-0144.6850790.62093448.6765510.91800044.31972010-10-0149.0845470.62093449.2974850.99568147.91372011-01-0161.307998NaNNaNNaNNaN2011-04-0137.373051NaNNaNNaNNaN2011-07-0146.965149NaNNaNNaNNaN2011-10-0151.557555NaNNaNNaNNaN2012-01-0164.358434NaNNaNNaNNaN2012-04-0139.209734NaNNaNNaNNaN2012-07-0149.245220NaNNaNNaNNaN2012-10-0154.030563NaNNaNNaNNaN

Finally lets look at the levels, slopes/trends and seasonal components of the models.

ax = oildata.plot()
ax.set_xlabel("Year")
ax.set_ylabel("Oil (millions of tonnes)")
print("Figure 7.1: Oil production in Saudi Arabia from 1996 to 2007.")

ax = oildata.plot()
ax.set_xlabel("Year")
ax.set_ylabel("Oil (millions of tonnes)")
print("Figure 7.1: Oil production in Saudi Arabia from 1996 to 2007.")

Simulations and Confidence Intervals

By using a state space formulation, we can perform simulations of future values. The mathematical details are described in Hyndman and Athanasopoulos [2] and in the documentation of

fit1 = SimpleExpSmoothing(oildata, initialization_method="heuristic").fit(
    smoothing_level=0.2, optimized=False
)
fcast1 = fit1.forecast(3).rename(r"$\alpha=0.2$")
fit2 = SimpleExpSmoothing(oildata, initialization_method="heuristic").fit(
    smoothing_level=0.6, optimized=False
)
fcast2 = fit2.forecast(3).rename(r"$\alpha=0.6$")
fit3 = SimpleExpSmoothing(oildata, initialization_method="estimated").fit()
fcast3 = fit3.forecast(3).rename(r"$\alpha=%s$" % fit3.model.params["smoothing_level"])

plt.figure(figsize=(12, 8))
plt.plot(oildata, marker="o", color="black")
plt.plot(fit1.fittedvalues, marker="o", color="blue")
(line1,) = plt.plot(fcast1, marker="o", color="blue")
plt.plot(fit2.fittedvalues, marker="o", color="red")
(line2,) = plt.plot(fcast2, marker="o", color="red")
plt.plot(fit3.fittedvalues, marker="o", color="green")
(line3,) = plt.plot(fcast3, marker="o", color="green")
plt.legend([line1, line2, line3], [fcast1.name, fcast2.name, fcast3.name])

Similar to the example in [2], we use the model with additive trend, multiplicative seasonality, and multiplicative error. We simulate up to 8 steps into the future, and perform 1000 simulations. As can be seen in the below figure, the simulations match the forecast values quite well.

[2] Hyndman, Rob J., and George Athanasopoulos. Forecasting: principles and practice, 2nd edition. OTexts, 2018.

ax = oildata.plot()
ax.set_xlabel("Year")
ax.set_ylabel("Oil (millions of tonnes)")
print("Figure 7.1: Oil production in Saudi Arabia from 1996 to 2007.")

ax = oildata.plot()
ax.set_xlabel("Year")
ax.set_ylabel("Oil (millions of tonnes)")
print("Figure 7.1: Oil production in Saudi Arabia from 1996 to 2007.")

Simulations can also be started at different points in time, and there are multiple options for choosing the random noise.

Langkah langkah metode exponential smoothing?

Adapun langkah-langkah di dalam cara menghitung exponential smoothing sebagai berikut :.

Menghitung koefisien α.

Menghitung nilai peramalan periode pertama..

Menghitung nilai peramalan di keseluruhan periode..

Menghitung akurasi peramalan dengan peta kontrol Tracking Signal..

Membuat grafik peta kontrol Tracking Signal..

Apakah metode single exponential smoothing?

Metode single exponential smoothing merupakan metode yang digunakan pada peramalan jangka pendek yang biasanya hanya 1 bulan ke depan yang mengasumsikan bahwa data berfluktuasi di sekitar nilai mean yang tetap tanpa trend atau pola pertumbuhan konsisten.

Kapan menggunakan exponential smoothing?

Penggunaan exponential smoothing biasanya digunakan untuk forecasting (peramalan) atau peramalan bisnis seperti prediksi curah hujan, produksi roti, persediaan obat-obatan, penjualan barang dengan alpha ataupun parameter yang ditentukan.

Apa yang dimaksud dengan exponential smoothing?

Penghalusan eksponensial (exponential smoothing) adalah suatu tipe teknik peramalan rata-rata bergerak yang melakukan penimbangan terhadap data masa lalu dengan cara eksponensial sehingga data paling akhir mempunyai bobot atau timbangan lebih besar dalam rata-rata bergerak.