kumulant
com.eignex.kumulant/schema/spec/ExponentialSmoothing

ExponentialSmoothing

@Serializable
@SerialName(value = "ExponentialSmoothing")
data class ExponentialSmoothing(val alpha: Double, val beta: Double = alpha, val phi: Double = StatDefaults.SMOOTHING_PHI, val period: Int = StatDefaults.SMOOTHING_PERIOD, val gamma: Double = alpha, val mode: SeasonalMode = StatDefaults.seasonalMode) : SeriesStatSpec<ExponentialSmoothingResult> (source)

Spec for ExponentialSmoothingStat: exponential smoothing with a damped trend and optional seasonality. period 1 is Holt's method; a longer period adds a Holt-Winters seasonal cycle.

Constructors

ExponentialSmoothing

constructor(alpha: Double, beta: Double = alpha, phi: Double = StatDefaults.SMOOTHING_PHI, period: Int = StatDefaults.SMOOTHING_PERIOD, gamma: Double = alpha, mode: SeasonalMode = StatDefaults.seasonalMode)(source)

Properties

alpha

val alpha: Double(source)

Level decay rate per unit of weight; the level step is 1 - exp(-alpha * weight). Finite and >= 0.

beta

val beta: Double(source)

Trend decay rate per unit of weight, stepping by 1 - exp(-beta * weight); defaults to alpha.

gamma

val gamma: Double(source)

Seasonal decay rate per unit of weight, stepping by 1 - exp(-gamma * weight); defaults to alpha.

mode

val mode: SeasonalMode(source)

Seasonal coupling.

period

val period: Int(source)

Length of the seasonal cycle in updates; 1 disables seasonality.

phi

val phi: Double(source)

Trend damping in (0, 1]; 1.0 is an undamped trend.