Question

好吧，所以我们从预测包文档中知道hw()基本上是forecast(ets(...))的包装函数。但是，我想确切地知道哪种ETS公式等同于拟合+预测“加性” Holt-Winters（如hw(x, seasonal="additive")和“乘性” Holt-Winters（如hw(x, seasonal="multiplicative")）。< / p>

（i）我猜想可以使用带有=“ AAA”模型的ets函数来实现“加和”的Holt-Winters公式（结果大致相同，通常小数点或第一个单位的差异很小）。正确吗？

（ii）乘积Holt-Winters-hw(x, seasonal="multiplicative")的ETS等效项是什么？

谢谢！

Answer 1

R是开源的。只看代码。这并不困难。这是hw()函数的第一部分。

> hw
function(y, h = 2 * frequency(x), seasonal = c("additive", "multiplicative"), damped = FALSE,
               level = c(80, 95), fan = FALSE, initial=c("optimal", "simple"), exponential=FALSE,
               alpha=NULL, beta=NULL, gamma=NULL, phi=NULL, lambda=NULL, biasadj=FALSE, x=y, ...) {
  initial <- match.arg(initial)
  seasonal <- match.arg(seasonal)
  m <- frequency(x)
  if (m <= 1L) {
    stop("The time series should have frequency greater than 1.")
  }
  if (length(y) < m + 3) {
    stop(paste("I need at least", m + 3, "observations to estimate seasonality."))
  }
  if (initial == "optimal" || damped) {
    if (seasonal == "additive" && exponential) {
      stop("Forbidden model combination")
    } else if (seasonal == "additive" && !exponential) {
      fcast <- forecast(ets(x, "AAA", alpha = alpha, beta = beta, gamma = gamma, phi = phi, damped = damped, opt.crit = "mse", lambda = lambda, biasadj = biasadj), h, level = level, fan = fan, ...)
    } else if (seasonal != "additive" && exponential) {
      fcast <- forecast(ets(x, "MMM", alpha = alpha, beta = beta, gamma = gamma, phi = phi, damped = damped, opt.crit = "mse", lambda = lambda, biasadj = biasadj), h, level = level, fan = fan, ...)
    } else { # if(seasonal!="additive" & !exponential)
      fcast <- forecast(ets(x, "MAM", alpha = alpha, beta = beta, gamma = gamma, phi = phi, damped = damped, opt.crit = "mse", lambda = lambda, biasadj = biasadj), h, level = level, fan = fan, ...)
    }
  }

您不必读很远就可以知道，如果seasonal='multiplicative'和exponential=FALSE（默认值）是模型，则该模型为MAM。

R预测软件包-加法和乘法hw（）-ETS函数中的等效项

1 个答案: