Time-series forecasting software

Kernel Smoothing

Kernel smoothing is a group of powerful smoothing algorithms that consists in applying a function known as the kernel to each data point in the time-series. Kernel Smoothing belongs to the class of weighted moving averages.

This means in practice that all the points in the time-series are weighted using as weights the results of the computation of the kernel function.

Every kernel function has several properties:

  • All kernel values are positive or zero.
  • The kernel functions are normally symmetric.
  • Kernel function values decrease to zero from a central (maximum) value.

We are offering two versions of each kernel smoothing method: the first version computes the kernel without modifications to the original signal and the second one computes the kernel extending the original signal by linear extrapolation, simple extension of last value or linear prediction the signal. These extended methods allow better behavior of the kernel smoothing at the right edge of the time-series.

See the Excel workbook with Kernel Smoothing methods for an example of the application of these extrapolation methods and their effects on the kernels. The kernel functions supported by IPredict’s library are the following:


Gaussian Kernel


Hilbert Kernel


Triangle Kernel


Epanechnicov Kernel


Quartic Kernel


Triweight Kernel


Cosine Kernel


Kernel Smoothing, M.P. Wand and M.C. Jones White Noise Theory of Prediction, Filtering and Smoothing, G. Kallianpur and Rajeeva Karandikar

Forecasting Methods   Holt Winter’s, Series Decomposition and Wavelet Benchmarks
Time Series Forecasting   Use of the Moving Average in Time-series Forecasting
Forecasting Concepts   Denoising Techniques
Error Statistics   Computational Performance
Fast Fourier Transform   Moving Averages
Kernel Smoothing   Active Moving Average
Savitsky-Golay Smoothing   Fractal Projection
Downloading Financial Data from Yahoo   Multiple Regression
Digital Signal Processing   Principal Component Analysis
Curve Analysis   Options Pricing with Black-Scholes
Markowitz Optimal Portfolio   Time-series preprocessing