3
$\begingroup$

I am following this for understanding Holt winter's seasonal additive smoothing.

I am not able to find any explanation for deciding initial values for trend, level and season for seasonal additive smoothing method.

While exploring web, I found this page which provides explanation for deciding initial values. I tried calculating initial values using mentioned approach. However, it is not matching with the initial values calculated by R's Holt Winter implementation using the same data set.

Can any one explain the approach to decide initial values which R's Holt Winter implementation is using.

$\endgroup$
1

1 Answer 1

2
$\begingroup$

There are various ways to initialize smoothing components. You can include this in the estimation procedure, but this requires many degrees of freedom, so people will typically use heuristics. These are often not documented very well.

Rob Hyndman provides an overview and explains which methods are used in the HoltWinters and ets functions in R here: Initializing the Holt-Winters method.

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Not the answer you're looking for? Browse other questions tagged or ask your own question.