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Method for Prediction for Nonlinear Seasonal Time Series

  • US 20110160927A1
  • Filed: 12/30/2009
  • Published: 06/30/2011
  • Est. Priority Date: 12/30/2009
  • Status: Abandoned Application
First Claim
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1. A method for predicting future values of a time series from past values of the time series, wherein Lt and It are values of an initial local mean level, and a seasonal index at a time t, and α

  • and δ

    are smoothing parameters for updating the mean level and the seasonal index, respectively, and p is a duration of a seasonal pattern, comprising for each next local mean level Lt the steps of;

    determining {circumflex over (X)}t (1)=It-pFt(Lt), wherein {circumflex over (X)}t (1) is a prediction made at time t one time step in the future, and Ft is a nonlinear function for a vector Lt of local level means;

    updating the local mean Lt and the seasonal index according to
    Lt

    (Xt/It−

    p
    )+(1−

    α

    )({circumflex over (X)}t−

    1
    (1)/It−

    p
    )
    It

    (Xt/Lt)+(1−

    δ

    )It−

    p
    ; and

    estimating a next Ft (L) from past values of L, wherein the determining, updating and estimating steps are performed in a processor.

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