I'm trying to replicate some values from a holt winters calculation made in excel by someone else. I have the time series time_x, and I'm using the forecast package.
The problem is when I run the command hw using the same parameters this error occur:
>hw(y = time_x,h = 24,seasonal = "additive",alpha = 0.1, beta = 0.6, gamma = 0.05)
[1] "Model: ETS(A,A,A)" Error in etsmodel(y, errortype[i], trendtype[j], seasontype[k], damped[l], :
Parameters out of range
Aren't all parameters between 0 and 1?
These are the conditions you need to follow (or use bounds="admissible" in the function call):
in your case you have $\beta>\alpha$, which triggers the check.param function to return 0
check.param <- function(alpha,beta,gamma,phi,lower,upper,bounds,m)
{
if(bounds != "admissible")
{
if(!is.null(alpha))
{
if(alpha < lower[1] | alpha > upper[1])
return(0)
}
if(!is.null(beta))
{
if(beta < lower[2] | beta > alpha | beta > upper[2])
return(0)
}
if(!is.null(phi))
{
if(phi < lower[4] | phi > upper[4])
return(0)
}
if(!is.null(gamma))
{
if(gamma < lower[3] | gamma > 1-alpha | gamma > upper[3])
return(0)
}
}
if(bounds != "usual")
{
if(!admissible(alpha,beta,gamma,phi,m))
return(0)
}
return(1)
}
from the source code https://github.com/robjhyndman/forecast/blob/master/R/ets.R
