Solved – simple exponential smoothing with drift

arimaexponential-smoothingforecastingrtime series

I have researched all over the text books and software (R/SAS/SPSS), but I have not encountered Simple Exponential Smoothing (SES) with a drift ?

Is it possible to add a drift term to Simple exponential smoothing, so that SES captures the direction of the trend? If yes, how is this implemented in software like forecast package in R or any other software?

Also, is SES with drift equivalent to ARIMA(0,1,1) + Drift ?

Best Answer

If the drift changes over time, then you can use double exponential smoothing known as the Holt-Winters procedure.

see: https://en.wikipedia.org/wiki/Exponential_smoothing#Double_exponential_smoothing

R has an implementation.

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