GDL

H-WEMA: A New Approach of Double Exponential Smoothing Method

Journal from gdlhub / 2016-11-07 01:21:43
Oleh : Seng Hansun, Subanar Subanar, Telkomnika
Dibuat : 2016-06-01, dengan 1 file

Keyword : Holt’s double exponential smoothing, H-WEMA, time series analysis, weighted moving average
Url : http://journal.uad.ac.id/index.php/TELKOMNIKA/article/view/3096

A popular smoothing technique commonly used in time series analysis is double exponential smoothing. Basically, it’s an improvement of simple exponential smoothing which does the exponential filter process twice. Many researchers had developed the technique, hence Brown’s double exponential smoothing and Holt’s double exponential smoothing. Here, we introduce a new approach of double exponential smoothing, called H-WEMA, which combines the calculation of weighting factor in weighted moving average with Holt’s double exponential smoothing method. The proposed method will then be tested on Jakarta Stock Exchange (JKSE)composite index data. The accuracy and robustness level of the proposed method will then be examined by using mean square error and mean absolute percentage error criteria, and be compared to other conventional methods.

Deskripsi Alternatif :

A popular smoothing technique commonly used in time series analysis is double exponential smoothing. Basically, it’s an improvement of simple exponential smoothing which does the exponential filter process twice. Many researchers had developed the technique, hence Brown’s double exponential smoothing and Holt’s double exponential smoothing. Here, we introduce a new approach of double exponential smoothing, called H-WEMA, which combines the calculation of weighting factor in weighted moving average with Holt’s double exponential smoothing method. The proposed method will then be tested on Jakarta Stock Exchange (JKSE)composite index data. The accuracy and robustness level of the proposed method will then be examined by using mean square error and mean absolute percentage error criteria, and be compared to other conventional methods.

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