Hi David,
I am facing some issues with the HoltWinters function in R (v2.9.2). I am doing
time series analysis using this method. For the time series data that I used,
(alpha,beta,gamma) parameters came out to be (1,0,0). I think this
theoretically should mean that the predicted timeseries values will be
constant. But the predicted values were not coming out to be constant. What
does this mean ?
One more point is that when I ran the same code in older version(v2.8.x), I got
different parameter values and different predicted values. Was there any change
in HoltWinters function?
Below is my R window text:
########################################
> a=as.matrix(read.table("embedded_mani1.txt"))
>
> K=dim(a)[2]
> N=dim(a)[1]
>
> ts1=ts(a, frequency=7, start=c(1,1))
> #### Holtwinters with start.period=7
> params = matrix(nrow=3,ncol=K)
> prediction=matrix(0,nrow=K,ncol=28)
> ts_result=HoltWinters(ts1[,1], start.periods =7)
> params[,1]=c(ts_result$alpha,ts_result$beta,ts_result$gamma)
> print(params)
[,1] [,2] [,3] [,4]
[1,] 1 NA NA NA
[2,] 0 NA NA NA
[3,] 0 NA NA NA
> pre=predict(ts_result,28,se.fit=FALSE)
> head(pre)
[1] 0.2703228 1.0252342 1.4506853 1.3881035 1.3030489 1.0624612
####################################################
Please give your comments on this.
Regards,
Karthik,
Graduate Student,
Georgia Tech.
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