Holt Winters Error
That's a very short series to expect to fit a seasonal HW model to whilst choosing the degree of smoothing. and the optimization code is failing, because the initial guesses are too far away. The following should give you a clue: HoltWinters(test5, seasonal = "additive") Smoothing parameters: alpha: 1 beta : 0.8108822 gamma: 1 and using alpha=1 will work with the multiplicative model too. You can edit the function and choose other starting values than c(0.3, 0.1, 0.1) and thereby get it to converge, but I would have little confidence in the values found.
On Wed, 30 Apr 2003, Kel wrote:
Here's the time series (Jan 1994 - Dec 1998)
test5
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 1994 16.0 17.4 19.2 21.4 24.0 27.0 29.0 29.4 29.4 29.0 28.2 27.0 1995 28.0 31.8 36.0 40.6 45.6 51.0 53.0 51.0 48.6 45.8 42.6 39.0 1996 40.0 46.2 52.8 59.8 67.2 75.0 77.0 72.6 67.8 62.6 57.0 51.0 1997 52.0 60.6 69.6 79.0 88.8 99.0 101.0 94.2 87.0 79.4 71.4 63.0 1998 64.0 75.0 86.4 98.2 110.4 123.0 125.0 115.8 106.2 96.2 85.8 75.0
HoltWinters(test5,seasonal="mult")
Here's the message I get: Error in optim(c(0.3, 0.1, 0.1), error, method = "L-BFGS-B", lower = c(0, : L-BFGS-B needs finite values of fn" Thanks again. --- Prof Brian Ripley <ripley at stats.ox.ac.uk> wrote:
That's not an error, but a line of R code. If you could post an example which generates the error and the actual error message, we could try to investigate it. On Tue, 29 Apr 2003, Kel wrote:
I have come across with the following error while running HoltWinters(). optim(c(0.3, 0.1, 0.1), error, method =
"L-BFGS-B",
lower = c(0, 0, 0), upper = c(1, 1, 1)) It only happens to multiplicative seasonality but
not
additive. I read the program but still couldn't understand it.
-- Brian D. Ripley, ripley at stats.ox.ac.uk Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/ University of Oxford, Tel: +44 1865 272861 (self) 1 South Parks Road, +44 1865 272866 (PA) Oxford OX1 3TG, UK Fax: +44 1865 272595
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Brian D. Ripley, ripley at stats.ox.ac.uk Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/ University of Oxford, Tel: +44 1865 272861 (self) 1 South Parks Road, +44 1865 272866 (PA) Oxford OX1 3TG, UK Fax: +44 1865 272595