Exponential smoothing

11:00-12:30

Date

July 12, 2023

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Lab sessions

Lab Session 14

Try forecasting the Chinese GDP from the global_economy data set using an ETS model.

Experiment with the various options in the ETS() function to see how much the forecasts change with damped trend, or with a Box-Cox transformation. Try to develop an intuition of what each is doing to the forecasts.

[Hint: use h=20 when forecasting, so you can clearly see the differences between the various options when plotting the forecasts.]

Lab Session 15

Find an ETS model for the Gas data from aus_production and forecast the next few years.

  • Why is multiplicative seasonality necessary here?
  • Experiment with making the trend damped. Does it improve the forecasts?