DEVELOPMENT OF ADAPTIVE MOVING TWO–SIDED EXPONENTIAL SMOOTHING METHOD FOR RESTORING AND FORECASTING OF TIME SERIES

Olena Bratus

Abstract


Two algorithms for restoring of missing values of time series with using of adaptive moving two-sided exponential smoothing method with different initial conditions are developed in the article. Adaptive moving two–sided exponential smoothing method for restoring of true regularities and forecasting of time series is developed. The integral criterion of model adequacy and the proximity criterion for using for restoring of the true regularities of time series evolution are suggested. Practical researches with restoring of true regularities of Wolf numbers and solar radio fluxes at a wavelength of 10.7 cm, restoring of missing values and forecasting of solar radio fluxes at a wavelength of 10.7 cm are performed. Comparisons of created method with traditional methods are performed for all experiments. Developed adaptive moving two-sided exponential smoothing method is shown superiority in comparison with all traditional methods in the restoring of true regularities, missing values and forecasting of solar data.


Keywords


adaptive moving two–sided exponential smoothing method; restoring of true regularities of time series; restoring of missing time series values; integral criterion of model adequacy; proximity criterion; Wolf numbers; solar radio fluxes

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References


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DOI: http://dx.doi.org/10.21303/2461-4262.2017.00400

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