[R] HoltWinters forecasting method

From: Michael Bach <phaebz_at_gmail.com>
Date: Tue, 08 Mar 2011 17:16:56 +0200

Dear All,

I was wondering why the forecast for an additive HoltWinters model is given by Yhat[t+h] = a[t] + h * b[t] + s[t + 1 + (h - 1) mod p].

I am a student and new to time series analysis and forecasting. That said, I considered t = 13 and h = 1: Yhat[13+1] = a[13] + b[13] + s[13 + 1]

It seems odd that to predict Yhat[14], you would need a s[14] which in turn depends on Y[14], given that the most recent value is Y[13]...

For h > p it seems fine though.

Can you give me a hint where I am wrong?

Thanks in advance


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