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Prediction Error Sigma

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Prediction Error Sigma

The smoothed standard deviation of the prediction errors.

knowctr00000122.gif for tknowctr00090009.gif1

where

  • knowctr00090002.gif is the Error Weighting Factor (user defined)

  • the one step ahead prediction error, et, is the calculated difference between the observation and the forecast

    knowctr00000123.gif

  • the starting value of knowctr00090004.gif is calculated (for m observations) as:.

knowctr00000124.gif


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