Holt-Winters Forecasting Algorithm

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A Holt-Winters Forecasting Algorithm is an exponential forecasting algorithm that uses a level smoothing factor and a trend smoothing factor.



References

2015

2014

  • http://people.duke.edu/~rnau/411avg.htm#HoltLES
    • QUOTE: Brown’s LES model computes local estimates of level and trend by smoothing the recent data, but the fact that it does so with a single smoothing parameter places a constraint on the data patterns that it is able to fit: the level and trend are not allowed to vary at independent rates. Holt’s LES model addresses this issue by including two smoothing constants, one for the level and one for the trend. At any time t, as in Brown’s model, the there is an estimate Lt of the local level and an estimate Tt of the local trend. Here they are computed recursively from the value of Y observed at time t and the previous estimates of the level and trend by two equations that apply exponential smoothing to them separately.

2008

1988

1960

1957

  • (Holt, 1957) ⇒ Charles C. Holt. (1957). “Forecasting Seasonals and Trends by Exponentially Weighted Moving Averages." Carnegie Inst. of Technology.