you would have to take your series, y_1, ... y_t and run it over various values of alpha ( say zero to 1 insteps of .01 ) and see which one gives say the least MSE. but that will be the optimal alpha for the window you are looking at. it doesn't mean it will be the optimal apha for the data you deal with at y_t+1,..... y_t+n.
it's been a while, but , in holt winters, i think there are 3 smoothing constants so i would think you would want to optimize over all 3 of them ? someone else can give the following in more detail there is probably a way to use nlmin or one of those optimization functions to find the optimal smoothing constants but i don't think it's worth the hassle because they are in a small enough range that you can do it by brute force as above. ----- Original Message ----- From: "Carlo Trimarchi" <[EMAIL PROTECTED]> To: <r-help@stat.math.ethz.ch> Sent: Thursday, August 31, 2006 2:23 PM Subject: [R] alpha in Holt-Winters method > Hi, > I'd like to know if the Holt-Winters function in R can modify the > alpha paremeter in an "intelligent" way. I know it can vary from 0 to > 1. > > Wich mathematical formula does it use to calculate the correct value of > alpha? > > Thanks, bye. > Carlo > > ______________________________________________ > R-help@stat.math.ethz.ch mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide > http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
