Prediction Intervals

To compute prediction intervals, an Exponential Smoothing (ESM) model is divided into three classes.

The simplest class is the class of linear models, which include, among others, simple ESM, Holt’s method, and additive Holt-Winters. Class 2 models (multiplicative error, additive components) make an approximate correction for violations of the Normality assumption. Class 3 modes use a simple simulation approach to calculate prediction intervals.