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Course 4 Pegels Classification

Pegels classification provides a framework for discussing additive and multiplicative exponential smoothing methods. It categorizes models into 9 cells based on whether they include none, additive, or multiplicative trends and seasonal components. The 9 models can be summarized by a general formula where the variables P, Q, R, and T depend on which cell the method belongs to. For example, cell B-1 contains Holt's method while cell B-3 contains the multiplicative Holt-Winters' method.

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671 views8 pages

Course 4 Pegels Classification

Pegels classification provides a framework for discussing additive and multiplicative exponential smoothing methods. It categorizes models into 9 cells based on whether they include none, additive, or multiplicative trends and seasonal components. The 9 models can be summarized by a general formula where the variables P, Q, R, and T depend on which cell the method belongs to. For example, cell B-1 contains Holt's method while cell B-3 contains the multiplicative Holt-Winters' method.

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ArlingWidyasakti
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We take content rights seriously. If you suspect this is your content, claim it here.
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Exponential

smoothing: Pegels
classification

Arum Handini Primandari


Pegels classification

An important consideration in dealing with


exponential smoothing methods having separate
trend and seasonal aspects is whether or not the
model should be additive (linear) or multiplicative
(non linear)
Pegels (1969) has provide a simple but useful
framework for discussing these matters.
Pegels classification: pattern
Pegels classification

Pegels two-way classification is as follows:


Seasonal Component
Trend
component 1 2 3
(none) (additive) (multiplicative)
A
A-1 A-2 A-3
(none)
B
B-1 B-2 B-3
(additive)
C
C-1 C-2 C-3
(multiplicative)
Pegels classification: Formula

All the nine exponential smoothing models can be


summarize by formula:

L t Pt 1 Q t
b t R t 1 b t 1
St Tt 1 St s
where P, Q, R, and T vary according to which of the cells
the method belong to.
Note that:
Cell A-1: SES
Cell B-1: Holts method
Cell B-2: additive Holt-Winters
Cell B-3: multiplicative Holt-Winters
Seasonal Component
Trend 1 2 3
(none) (additive) (multiplicative)

Pt Yt Pt Yt St s Pt Yt / St s
A Q t L t 1 Q t L t 1 Q t L t 1
(none) Ft m L t Tt Yt L t Tt Yt / L t
Ft m L t St m s Ft m L t St ms
Pt Yt Pt Yt St s Pt Yt / St s
Q t L t 1 b t 1 Q t L t 1 b t 1 Q t L t 1 b t 1
B R t L t L t 1
(additive) R t L t L t 1 R t L t L t 1
Ft m L t mb t Tt Yt L t Tt Yt / L t
Ft m L t mb t St m s F L mb S
t m t t t m s

Pt Yt Pt Yt St s Pt Yt / St s
Q t L t 1b t 1 Q t L t 1b t 1 Q t L t 1b t 1
C
R t L t / L t 1 R t L t / L t 1 R t L t / L t 1
(multiplicative)
Ft m L t b mt Tt Yt L t Tt Yt / L t
Ft m L t b mt St m s Ft m L t b mt St m s
Referensi

Makridakris, Wheelwright, dan McGee, 1999,


Metode dan Aplikasi Peramalan Edisi Kedua,
Bumi Aksara.

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