12/18/21, 7:48 PM 6.4.3.4.

Forecasting with Double Exponential Smoothing(LASP)

6.
Process or Product Monitoring and Control

6.4.
Introduction to Time Series Analysis

6.4.3.
What is Exponential Smoothing?

6.4.3.4. Forecasting with Double Exponential

Smoothing(LASP)

Forecasting The one-period-ahead forecast is given by:

formula
F t+1 = St + bt .

The m-periods-ahead forecast is given by:

F t+m = St + mbt .

Example

Example Consider once more the data set:

6.4,  5.6,  7.8,  8.8,  11,  11.6, 

16.7,  15.3,  21.6,  22.4.

Now we will fit a double smoothing model with α = 0.3623

and γ = 1.0 .
These are the estimates that result in the lowest
possible MSE when
comparing the orignal series to one step
ahead at a time forecasts
(since this version of double
exponential smoothing uses the current
series value to
calculate a smoothed value, the smoothed series cannot
be
used to determine an α
with minimum MSE). The chosen
starting values are S = y = 6.4 and
1 1

b = ((y − y ) + (y − y ) + (y − y ))/3 = 0.8 .

1 2 1 3 2 4 3

For comparison's sake we also fit a single smoothing model

with α = 0.977
(this results in the lowest MSE for single
exponential smoothing).

The MSE for double smoothing is 3.7024.

The MSE for single smoothing is 8.8867.

Forecasting The smoothed results for the example are:

results for
the example Data Double Single

6.4 6.4  
5.6 6.6 (Forecast = 7.2) 6.4
7.8 7.2 (Forecast = 6.8) 5.6
8.8 8.1 (Forecast = 7.8) 7.8
https://www.itl.nist.gov/div898/handbook/pmc/section4/pmc434.htm 1/3
12/18/21, 7:48 PM 6.4.3.4. Forecasting with Double Exponential Smoothing(LASP)

11.0 9.8 (Forecast = 9.1) 8.8

11.6 11.5 (Forecast = 11.4) 10.9
16.7 14.5 (Forecast = 13.2) 11.6
15.3 16.7 (Forecast = 17.4) 16.6
21.6 19.9 (Forecast = 18.9) 15.3
22.4 22.8 (Forecast = 23.1) 21.5

Comparison of Forecasts

Table To see how each method predicts the future, we computed the
showing first five
forecasts from the last observation as follows:
single and
double Period Single Double
exponential
smoothing
11 22.4 25.8
forecasts
12 22.4 28.7
13 22.4 31.7
14 22.4 34.6
15 22.4 37.6

Plot A plot of these results (using the forecasted double smoothing

comparing values) is very enlightening.
single and
double
exponential
smoothing
forecasts

This graph indicates that double smoothing follows the data

much
closer than single smoothing. Furthermore, for
forecasting single
smoothing cannot do better than projecting
a straight horizontal
line, which is not very likely to occur in
reality. So in this
case double smoothing is preferred.

Plot Finally, let us compare double smoothing with linear

comparing regression:
double
exponential
smoothing
and
https://www.itl.nist.gov/div898/handbook/pmc/section4/pmc434.htm 2/3
12/18/21, 7:48 PM 6.4.3.4. Forecasting with Double Exponential Smoothing(LASP)

regression
forecasts

This is an interesting picture. Both techniques follow the data

in similar fashion, but the regression line is more conservative.
That is, there is a slower increase with the regression line than
with double smoothing.

Selection of The selection of the technique depends on the forecaster. If it

technique is
desired to portray the growth process in a more aggressive
depends on manner,
then one selects double smoothing. Otherwise,
the regression may be
preferable. It should be noted that in linear
forecaster regression
"time" functions as the independent variable.
Chapter 4 discusses the
basics of linear
regression, and the
details of regression
estimation.

https://www.itl.nist.gov/div898/handbook/pmc/section4/pmc434.htm 3/3