HoltWinters {stats} | R Documentation |

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

HoltWinters(x, alpha = NULL, beta = NULL, gamma = NULL, seasonal = c("additive", "multiplicative"), start.periods = 3, l.start = NULL, b.start = NULL, s.start = NULL, optim.start = c(alpha = 0.3, beta = 0.1, gamma = 0.1), optim.control = list())

`x` |
An object of class `ts` |

`alpha` |
alpha parameter of Holt-Winters Filter |

`beta` |
beta parameter of Holt-Winters Filter. If set to 0,
the function will do exponential smoothing. |

`gamma` |
gamma parameter used for the seasonal component.
If set to 0, 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 3. |

`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. |

`optim.control` |
Optional list with additional control parameters
passed to `optim` . |

The additive Holt-Winters prediction function (for time series with period length p) is

*Yhat[t+h] = a[t] + h * b[t] + s[t + 1 + (h - 1) mod p],*

where *a[t]*, *b[t]* and *s[t]* are given by

*a[t] = α (Y[t] - s[t-p]) + (1-α) (a[t-1] + b[t-1])*

*b[t] = β (a[t] - a[t-1]) + (1-β) b[t-1]*

*s[t] = gamma (Y[t] - a[t]) + (1-gamma) s[t-p]*

The multiplicative Holt-Winters prediction function (for time series with period length p) is

*Yhat[t+h] = (a[t] + h * b[t]) * s[t + 1 + (h - 1) mod p],*

where *a[t]*, *b[t]* and *s[t]* are given by

*a[t] = α (Y[t] / s[t-p]) + (1-α) (a[t-1] + b[t-1])*

*b[t] = β (a[t] - a[t-1]) + (1-β) b[t-1]*

*s[t] = gamma (Y[t] / a[t]) + (1-gamma) s[t-p]*

The function tries to find the optimal values of *α* and/or
*β* and/or *gamma* by minimizing the squared
one-step prediction error if they are omitted.

For seasonal models, start values for `a`

, `b`

and `s`

are detected 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].

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 |

`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 |

David Meyer David.Meyer@wu-wien.ac.at

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

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

## 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 = 0) plot(m) ## Exponential Smoothing m2 <- HoltWinters(x, gamma = 0, beta = 0) lines(fitted(m2)[,1], col = 3)

[Package *stats* version 2.2.1 Index]