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)$alpha);
alpha alpha alpha alpha
48.8798912 48.8798912 48.8798912 0.6881547
Note that by applying a shift, I also obtained varying values of alpha,
similar to that of what David achieved by changing the initial conditions.
Thanks
-John
On Fri, May 16, 2008 at 4:20 AM, David Meyer <[EMAIL PROTECTED]>
wrote:
> I get John's value (48.8789) in 2.7.0 and R-devel (both on Ubuntu). Really
> seems to be a numeric issue:
>
> > HoltWinters(x, beta = 0, gamma = 0)$alpha
> alpha
> 48.87989
>
> > HoltWinters(x * 1.0000000001, beta = 0, gamma = 0)$alpha
> alpha
> 0.6881547
>
> > HoltWinters(x * 1.00000000001, beta = 0, gamma = 0)$alpha
> alpha
> 48.87989
>
> Providing starting values seems to help, but not always:
>
> > HoltWinters(x, beta = 0, gamma = 0, l.start = 0.00001)$alpha
> alpha
> 48.88999
> > HoltWinters(x, beta = 0, gamma = 0, l.start = 0.0001)$alpha
> alpha
> 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 Bodley
>>> Version: 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/>
>
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