[R] Exponential Smoothing: Forecast package

From: phani kishan <phanikishan_at_gmail.com>
Date: Mon, 28 Jun 2010 15:27:50 +0530

I am using the ets() function in the forecast package to find out the best fit parameters for my time-series. I have about 50 sets of time series data.

I'm currently using the function as follows:


As to my observation about 5-10 of them have been identified by ets to have a trend and an alpha, beta values have been thrown up - which have been same in all these cases. When I read up online it came up as a Brown's double exponential smoothing as opposed to Holt's exponential smoothing (where alpha and beta differ). I am guessing this is happening as AIC/AICc/BIC select a model based on accuracy as well as a weight on number of parameters (1 in case of brown's, 2 in case of holt's). Now if I want to see results of the best parameters from the Holt's method, how should I go about it?

And is there any study comparing the accuracy of brown's double exponential model versus holt's exponential model?

Thanks in advance,

A. Phani Kishan
3rd Year B.Tech
Dept. of Computer Science & Engineering
Ph: +919962363545

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Received on Mon 28 Jun 2010 - 10:00:30 GMT

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