Over a million developers have joined DZone.
{{announcement.body}}
{{announcement.title}}

ETS Models Now in EViews 8

DZone's Guide to

ETS Models Now in EViews 8

· Big Data Zone ·
Free Resource

Hortonworks Sandbox for HDP and HDF is your chance to get started on learning, developing, testing and trying out new features. Each download comes preconfigured with interactive tutorials, sample data and developments from the Apache community.

The ETS mod­el­ling frame­work devel­oped in my 2002 IJF paper (with Koehler, Sny­der and Grose), and in my 2008 Springer book (with Koehler, Ord and Sny­der), is now avail­able in EViews 8. I had no idea they were even work­ing on it, so it was quite a sur­prise to be told that EViews now includes ETS models.

Here is the blurb from the release notes:

EViews 8 now offers sup­port for expo­nen­tial smooth­ing using the dynamic non­lin­ear model frame­work of Hyn­d­man, Koehler, et al. (2002).

The ETS (Error-​​Trend-​​Seasonal or Expo­nen­Tial Smooth­ing) frame­work defines an extended class of expo­nen­tial smooth­ing meth­ods that encom­passes stan­dard ES mod­els (e.g., Holt and Holt–Winters addi­tive and mul­ti­plica­tive meth­ods), but offer a vari­ety of new methods.

In addi­tion ETS smooth­ing offers a the­o­ret­i­cal foun­da­tion for analy­sis of these mod­els using state-​​space based like­li­hood cal­cu­la­tions, with sup­port for model selec­tion and cal­cu­la­tion of fore­cast stan­dard errors.

ETS Smoothing

Until now, ETS mod­els have only been avail­able in R (the ets func­tion in the fore­castpack­age). I believe SAS has also been work­ing on includ­ing them, but noth­ing has appeared yet.

Hortonworks Community Connection (HCC) is an online collaboration destination for developers, DevOps, customers and partners to get answers to questions, collaborate on technical articles and share code examples from GitHub.  Join the discussion.

Topics:

Published at DZone with permission of

Opinions expressed by DZone contributors are their own.

{{ parent.title || parent.header.title}}

{{ parent.tldr }}

{{ parent.urlSource.name }}