Optimize a parameter in statistic forecast

CommunityMember125605
Occasional Contributor

Optimize a parameter in statistic forecast

Hi. 

We are trying the Statistic forecast.

In monthly model, we need to set parameters to run the statistic model.

(Like Holt's α in Holt's Winters model)

 

But this setup is manual input.

Can we calculate the best parameter(0.0~1.0) by Optimize and minimize MAPE?

 

1 REPLY 1
manas.malhotra@in.ey.com
Occasional Contributor

Re: Optimize a parameter in statistic forecast

Hi 

We can optimize the results of alfa value in holts model

Copy the holts model for 9 time and fix the ALFA value from  0.1 to 0.9 , calculate MAPE for reach exercise and them pick the model giving the lowest MAPE , that would be most optimimum ALFA value to choose.

 

You can also setup an optimizer on Alfa , being the variable and build a minimization function for  least MAPE

 

Regards

Manas Malhotra