An update on this:I just patched HoltWinters() to use optimize() in the univariate case, and it now computes the correct value.
David John Bodley wrote:
Hi, Thanks for the quick response. I upgraded by version of R on Windows to the latest (2.7.0) and re-ran the analysis and get the same result of 48.87989. The original time series was a non-regular zoo() object and I converted it to a time series with daily granularity by setting the values of the undefined dates to zero. I initially wondered if the zeros were maybe an issue, i.e., I know multiplicative Holt-Winters requires non-negative values, so I tried shifting the values, which should change the level, though the fitted alpha values should be the same:delta <- 10 ^ seq(-3, 0); sapply(delta, function(delta) HoltWinters(x + delta, beta = 0, gamma =0)$alpha); alpha alpha alpha alpha 48.8798912 48.8798912 48.8798912 0.6881547 Note that by applying a shift, I also obtained varying values of alpha, similar to that of what David achieved by changing the initial conditions. Thanks -John On Fri, May 16, 2008 at 4:20 AM, David Meyer <[EMAIL PROTECTED]> wrote:I get John's value (48.8789) in 2.7.0 and R-devel (both on Ubuntu). Really seems to be a numeric issue:HoltWinters(x, beta = 0, gamma = 0)$alphaalpha 48.87989HoltWinters(x * 1.0000000001, beta = 0, gamma = 0)$alphaalpha 0.6881547HoltWinters(x * 1.00000000001, beta = 0, gamma = 0)$alphaalpha 48.87989 Providing starting values seems to help, but not always:HoltWinters(x, beta = 0, gamma = 0, l.start = 0.00001)$alphaalpha 48.88999HoltWinters(x, beta = 0, gamma = 0, l.start = 0.0001)$alphaalpha 0.6880582 Yes, it's easy to use optimize() instead of optim() in the univariate cases, will do. David. Prof Brian Ripley wrote:It doesn't do it on my system (I get a value of about 0.688 in R 2.7.0 patched on Linux), and 2.5.1 is not current. Does a better starting value help? However, HoltWinters is using optim() in a case it is not designed for (one-dimensional optimization): see the note on its help page. I think this could easily be changed, but as HoltWinters is contributed code I am Cc:ing the author for comment. On Fri, 16 May 2008, [EMAIL PROTECTED] wrote: Full_Name: John BodleyVersion: 2.5.1 (2007-06-27) OS: Windows XP Submission from: (NULL) (12.144.182.66) I was fitting a number of time series in R using the stats::HoltWinters method to define a single exponential smoothing model, i.e., beta = gamma = 0. I came across an example where the fitted value of alpha was not defined in the [0, 1] interval which seems to violate the lower and upper bound constraints used for the optim method. On my computer the following code returns a value of 48.87989. R code: x <- c( 0, 0.000843170320404722, 0, 0, 0, 0.0103773584905660, 0.00832466181061394, 0.0038560411311054, 0, 0, 0.00484966052376334, 0, 0, 0, 0.00274348422496571, 0, 0, 0, 0, 0, 0.0207064555420219, 0.0334975369458128, 0.0334975369458128, 0.00338983050847458, 0.00483675937122128, 0, 0, 0.00224971878515186, 0, 0, 0, 0.00135685210312076, 0, 0, 0, 0.0035377358490566, 0.0035377358490566, 0.00501002004008016, 0.0107632093933464, 0, 0, 0.0143329658213892, 0.0330459770114943, 0, 0, 0, 0, 0.0109890109890110, 0, 0.00118623962040332, 0.007380073800738, 0.00695410292072323, 0.0104895104895105, 0.00278551532033426, 0.00278551532033426 ); # Single exponential smoothing m <- stats::HoltWinters(x, beta = 0, gamma = 0); m$alpha ______________________________________________ R-devel@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-devel-- Dr. David Meyer Department of Information Systems and Operations Vienna University of Economics and Business Administration Augasse 2-6, A-1090 Wien, Austria, Europe Tel: +43-1-313 36 4393 Fax: +43-1-313 36 90 4393 HP: http://wi.wu-wien.ac.at/~meyer/ <http://wi.wu-wien.ac.at/%7Emeyer/>
-- Dr. David Meyer Department of Information Systems and Operations Vienna University of Economics and Business Administration Augasse 2-6, A-1090 Wien, Austria, Europe Tel: +43-1-313 36 4393 Fax: +43-1-313 36 90 4393 HP: http://wi.wu-wien.ac.at/~meyer/ ______________________________________________ R-devel@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-devel
