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Holt-Winters method with general seasonality. (English) Zbl 1244.62132

Summary: The paper suggests a generalization of the widely used Holt-Winters [C. C. Holt, J. Forecasting 20, 5–10 (2004); P. R. Winters, Manage Sci. 6, 324–342 (1960; Zbl 0995.90562)] smoothing and forecasting method for seasonal time series. The general concept of seasonality modeling is introduced both for the additive and multiplicative case. Several special cases are discussed, including a linear interpolation of seasonal indices and a usage of trigonometric functions. Both methods are fully applicable for time series with irregularly observed data (just the special case of missing observations was covered up to now). Moreover, they sometimes outperform the classical Holt-Winters method even for regular time series. A simulation study and real data examples compare the suggested methods with the classical one.

MSC:

62M20 Inference from stochastic processes and prediction
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
65C60 Computational problems in statistics (MSC2010)
65D10 Numerical smoothing, curve fitting

Citations:

Zbl 0995.90562

Software:

TSDL; TDSL
PDFBibTeX XMLCite
Full Text: EuDML Link

References:

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