SOA Exam SRM Sample Question 46
Study guide: Exam SRM
A time series was observed at times 0, 1, ..., 100. The last four observations along with estimates based on exponential and double exponential smoothing with w = 0.8 are:
Time (t) |
97 | 98 | 99 | 100 |
|---|---|---|---|---|
Observation (y_t) |
96.9 | 98.1 | 99.0 | 100.2 |
Estimates (\hat{s}_t^{(1)}) |
93.1 | 94.1 | 95.1 | |
Estimates (\hat{s}_t^{(2)}) |
88.9 | 89.9 |
All forecasts should be rounded to one decimal place and the trend should be rounded to three decimal places.
Let F be the predicted value of y_{102} using exponential smoothing with w = 0.8.
Let G be the predicted value of y_{102} using double exponential smoothing with w = 0.8.
Calculate the absolute difference between F and G, |F - G|.
- A) 0.0
- B) 2.1
- C) 4.2
- D) 6.3
- E) 8.4
Answer this question and see the worked solution