Brown's Double Exponetial Smoothing
Brown's Double Exponetial Smoothing
1)
Compute a single exponential smoothing
2)
Compute a double exponential smoothing (a single exponential smoothing from a single exponential smoothing)
3)
Compute: add to the single exponential smoothing the difference between the single exponential smoothing and double single exponential smoothing
4)
Add the linear trend
Equations are:
S't = α * Yt + (1 - α) * S't-1
S''t = α * S't + (1 - α) * S''t-1
at = S't + (S't - S''t)
bt = (α / (1 - α)) * (S't - S''t)
Ft+p = at + p * bt
Where:
S't = Single exponential smoothing
S''t = Double exponential smoothing
at = Smooted level
bt = Smooted trend
p = Number of periods forecasted (forecast horizon)