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decuslib20-02
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decus/20-0026/exsmo.doc
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SUBROUTINE EXSMO
PURPOSE
TO FIND THE TRIPLE EXPONENTIAL SMOOTHED SERIES S OF THE
GIVEN SERIES X.
USAGE
CALL EXSMO (X,NX,AL,A,B,C,S)
DESCRIPTION OF PARAMETERS
X - INPUT VECTOR OF LENGTH NX CONTAINING TIME SERIES
DATA WHICH IS TO BE EXPONENTIALLY SMOOTHED.
NX - THE NUMBER OF ELEMENTS IN X.
AL - SMOOTHING CONSTANT, ALPHA. AL MUST BE GREATER THAN
ZERO AND LESS THAN ONE.
A,B,C - COEFFICIENTS OF THE PREDICTION EQUATION WHERE S IS
PREDICTED T PERIODS HENCE BY
A + B*T + C*T*T/2.
AS INPUT-- IF A=B=C=0, PROGRAM WILL PROVIDE INITIAL
VALUES. IF AT LEAST ONE OF A,B,C IS NOT ZERO,
PROGRAM WILL TAKE GIVEN VALUES AS INITIAL VALUES.
AS OUTPUT-- A,B,C CONTAIN LATEST, UPDATED COEFFI-
CIENTS OF PREDICTION.
S - OUTPUT VECTOR OF LENGTH NX CONTAINING TRIPLE
EXPONENTIALLY SMOOTHED TIME SERIES.
REMARKS
NONE
SUBROUTINES AND FUNCTION SUBPROGRAMS REQUIRED
NONE
METHOD
REFER TO R. G. BROWN, 'SMOOTHING, FORECASTING AND PREDICTION
OF DISCRETE TIME SERIES', PRENTICE-HALL, N.J., 1963,
PP. 140 TO 144.