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HoltWinters {stats}

Holt-Winters Filtering
Package: 
stats
Version: 
R 3.0.2

Description

Computes Holt-Winters Filtering of a given time series. Unknown parameters are determined by minimizing the squared prediction error.

Usage

HoltWinters(x, alpha = NULL, beta = NULL, gamma = NULL,
            seasonal = c("additive", "multiplicative"),
            start.periods = 2, l.start = NULL, b.start = NULL,
            s.start = NULL,
            optim.start = c(alpha = 0.3, beta = 0.1, gamma = 0.1),
            optim.control = list())

Arguments

x
An object of class ts
alpha
alpha parameter of Holt-Winters Filter.
beta
beta parameter of Holt-Winters Filter. If set to FALSE, the function will do exponential smoothing.
gamma
gamma parameter used for the seasonal component. If set to FALSE, an non-seasonal model is fitted.
seasonal
Character string to select an "additive" (the default) or "multiplicative" seasonal model. The first few characters are sufficient. (Only takes effect if gamma is non-zero).
start.periods
Start periods used in the autodetection of start values. Must be at least 2.
l.start
Start value for level (a[0]).
b.start
Start value for trend (b[0]).
s.start
Vector of start values for the seasonal component (s_1[0] ... s_p[0])
optim.start
Vector with named components alpha, beta, and gamma containing the starting values for the optimizer. Only the values needed must be specified. Ignored in the one-parameter case.
optim.control
Optional list with additional control parameters passed to optim if this is used. Ignored in the one-parameter case.

Details

The additive Holt-Winters prediction function (for time series with period length p) is where a[t], b[t] and s[t] are given by

The multiplicative Holt-Winters prediction function (for time series with period length p) is where a[t], b[t] and s[t] are given by The data in x are required to be non-zero for a multiplicative model, but it makes most sense if they are all positive.

The function tries to find the optimal values of α and/or β and/or γ by minimizing the squared one-step prediction error if they are NULL (the default). optimize will be used for the single-parameter case, and optim otherwise.

For seasonal models, start values for a, b and s are inferred by performing a simple decomposition in trend and seasonal component using moving averages (see function decompose) on the start.periods first periods (a simple linear regression on the trend component is used for starting level and trend). For level/trend-models (no seasonal component), start values for a and b are x[2] and x[2] -   x[1], respectively. For level-only models (ordinary exponential smoothing), the start value for a is x[1].

Values

An object of class "HoltWinters", a list with components:

fitted
A multiple time series with one column for the filtered series as well as for the level, trend and seasonal components, estimated contemporaneously (that is at time t and not at the end of the series).
x
The original series
alpha
alpha used for filtering
beta
beta used for filtering
gamma
gamma used for filtering
coefficients
A vector with named components a, b, s1, ..., sp containing the estimated values for the level, trend and seasonal components
seasonal
The specified seasonal parameter
SSE
The final sum of squared errors achieved in optimizing
call
The call used

References

C. C. Holt (1957) Forecasting trends and seasonals by exponentially weighted moving averages, ONR Research Memorandum, Carnegie Institute of Technology 52.

P. R. Winters (1960) Forecasting sales by exponentially weighted moving averages, Management Science 6, 324--342.

See Also

predict.HoltWinters, optim.

Examples

require(graphics)
 
## Seasonal Holt-Winters
(m <- HoltWinters(co2))
plot(m)
plot(fitted(m))
 
(m <- HoltWinters(AirPassengers, seasonal = "mult"))
plot(m)
 
## Non-Seasonal Holt-Winters
x <- uspop + rnorm(uspop, sd = 5)
m <- HoltWinters(x, gamma = FALSE)
plot(m)
 
## Exponential Smoothing
m2 <- HoltWinters(x, gamma = FALSE, beta = FALSE)
lines(fitted(m2)[,1], col = 3)

Author(s)

David Meyer David.Meyer@wu.ac.at

Documentation reproduced from R 3.0.2. License: GPL-2.