Simple exponential smoothing, how extract α and ^ ℓ 0?

HI all,
I have a few questions:

  1. Is there a code to extract the optimal smoothing constant once you have run the ETS model?
    (the example shows α =0.84 )

  2. Is there a code to extract the ℓ0 once you have run the ETS model?
    ( ℓ0 for in the year 1959 , (in the example is = 39.54))

  3. How do you get to 39.54? ( I don´t understand how the calculation is done and why)

# Estimate parameters
fit <- algeria_economy %>%
  *model(ETS(Exports ~ error("A") + trend("N") + season("N")))*
fc <- fit %>%
  forecast(h = 5)

Thanks in advance! :grinning:

The fpp3 library doesn't include the algeria_economy dataset, but aus_airpassengers is similar

library(fpp3)
fit <- aus_airpassengers %>%
  model(ETS(Passengers ~ error("A") + trend("N") + season("N")))
  fc <- fit %>%
  forecast(h = 5)
report(fit)
#> Series: Passengers 
#> Model: ETS(A,N,N) 
#>   Smoothing parameters:
#>     alpha = 0.9998998 
#> 
#>   Initial states:
#>      l[0]
#>  7.319845
#> 
#>   sigma^2:  6.3296
#> 
#>      AIC     AICc      BIC 
#> 271.6389 272.1970 277.1894

Chapter 8 gives more detail of calculations in the context of state models.

1 Like

many thanks! report is exactly what I needed

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