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Stationary Forecasting; Using Holt-Winter and a Modification of Holt-Winter

✍ Scribed by Dr. Mohammed K. Kazempour

Book ID
101718687
Publisher
John Wiley and Sons
Year
2007
Tongue
English
Weight
359 KB
Volume
32
Category
Article
ISSN
0323-3847

No coin nor oath required. For personal study only.

✦ Synopsis

Abstract

The mean square error of the best (projection) linear predictor and some approximation methods are compared. Some analytical results concerning the optimal ‘smoothing constant’ for Holt‐Winter in Moving Average (1), model MA(1), and Autoregressive Moving Average (1,1), model ARMA(1,1), have been derived. A modified Holt‐Winter technique has been proposed and it is shown for MA(1) and ARMA(1,1) it coincides with the best linear predictor. Finally, we considered flow prediction for the Niger River and the performance of modified Holt‐Winter graphically.

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