H-WEMA: A New Approach of Double Exponential Smoothing Method
Abstract: A popular smoothing
technique commonly used in time series analysis is double exponential smoothing.
Basically, it’s an improvement of simple exponential smoothing which does the
exponentialfilter process twice. Many researchers had developed the technique,
hence Brown’s double exponential smoothing and Holt’s double exponential
smoothing. Here, we introduce a new approach of double exponential smoothing,
called H-WEMA, which combines the calculation of weighting factor in weightedmoving
average with Holt’s double exponential smoothing method. The proposed method
will then be tested on Jakarta Stock Exchange (JKSE) composite index data. The
accuracy and robustness level of theproposed method will then be examined by
using mean square error and mean absolute percentage error criteria, and be
compared to other conventional methods.
Keywords: Holt’s double
exponential smoothing, H-WEMA, time series analysis, weighted moving average
Author: Seng Hansun, Subanar
Journal Code: jptkomputergg160248
