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  • Extension of Taylor Double Smoothing

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    ChudJogurt
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    The document defines terms related to modeling events that influence a value y over time, including: events ei that may occur at time t; indicator functions Iei(t) that are 1 if event ei occurs at t and 0 otherwise; and effect sizes Fd that quantify the impact of each event on the estimated value. It presents equations for updating estimates of y over time (ŷt(k)) that incorporate the observed value yt, previous estimates (St-1, Tt-1, Dt-s, Wt-s), and the summed effects of any events that occurred between t-∆t(d,t) and t+k, where ∆t(d,t) defines the

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    Random musings on the subj

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    The document defines terms related to modeling events that influence a value y over time, including: events ei that may occur at time t; indicator functions Iei(t) that are 1 if event ei occurs at t and 0 otherwise; and effect sizes Fd that quantify the impact of each event on the estimated value. It presents equations for updating estimates of y over time (ŷt(k)) that incorporate the observed value yt, previous estimates (St-1, Tt-1, Dt-s, Wt-s), and the summed effects of any events that occurred between t-∆t(d,t) and t+k, where ∆t(d,t) defines the

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
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    8 views2 pages

    Extension of Taylor Double Smoothing

    Uploaded by

    ChudJogurt
    The document defines terms related to modeling events that influence a value y over time, including: events ei that may occur at time t; indicator functions Iei(t) that are 1 if event ei occurs at t and 0 otherwise; and effect sizes Fd that quantify the impact of each event on the estimated value. It presents equations for updating estimates of y over time (ŷt(k)) that incorporate the observed value yt, previous estimates (St-1, Tt-1, Dt-s, Wt-s), and the summed effects of any events that occurred between t-∆t(d,t) and t+k, where ∆t(d,t) defines the

    Copyright:

    © All Rights Reserved
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    Flag for inappropriate content
    of 2

    Define

    *Event e : an irregular occurrence that influences the value of y.


    *Define E set of all possible (or considered) events e 1...en. Let E be a finite set
    *Let Iei (t) be an indicator function defined in such a way that:

    I e (t)= 1 if event ei occurstimet


    0 otherwise
    i

    Define Fei the effect of the event on the estimated value.


    Define

    t(d,t) N : Id(t) = 1 => Id(t- t) = 1

    St =

    yt
    +(1 )(S t 1 +T t1 )
    D ts W t s
    1

    T t= ( St 1S t1 ) + ( 1+ ) T t 1
    y t / St W t s

    Dt= ( ) + ( 1+ ) Dt s
    y t / St Dt s
    W t= ( ) + ( 1+ ) W ts
    yt
    F d =
    I + ( 1+ ) F d
    St Dt s W ts d
    2

    i,t

    i,t t

    y t( S t1 +T t 1 ) D t s W t s I d F d
    1

    ^
    y t ( k ) =( S t + k T t ) D t s +k W t s +k I d F d
    1

    t+ k

    i,t

    i ,tt( d,t )+k

    + k

    The question is how to determine Id(t+k) for given d and futurer t+k,

    S t =

    yt
    +(1)(S t1 +T t1)
    Dt s W ts
    1

    T t = ( S t 1 S t1 ) + ( 1+ ) T t 1
    y t /S t W t s
    D t= ( ) + ( 1+ ) Dt s

    y t / S t Dt s
    W t= ( ) + ( 1+ ) W t s
    y t ( St 1+T t 1 ) Dt s W t s

    ^
    y t ( k )=( St + k T t ) Dt s + k W ts + k + k

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