SOME STATISTICAL PROPERTIES OF THE HOLTWINTERS SEASONAL FORECASTING METHOD
SOME STATISTICAL PROPERTIES OF THE HOLTWINTERS SEASONAL FORECASTING METHOD
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霍尔特温特季节预测方法的一些统计特性
DOI：
10.14490/jjss1995.26.173
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发表时间：
1996
期刊：
影响因子：
--
通讯作者：
Chunhang Chen
中科院分区：
文献类型：
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作者：
Chunhang Chen
Holt-Winters方法作为一种非参数预测技术，在季节性时间序列预测中得到了广泛的应用。本文研究了Holt-Winters方法的渐近预报误差。为此，我们证明了在适当的条件下，光滑算法中的光滑参数的非线性最小二乘估计具有强收敛性。然后，我们给出了一些随机过程的预测误差的均方误差和极限分布。最后，数值研究进行评估的Holt-Winters方法的预测性能。
The Holt-Winters method has been widely used to forecast a seasonal time series in application fields as a nonparametric forecasting technique. In this paper, we investigate the asymptotic forecast errors of the Holt-Winters method. For that purpose, we show that the nonlinear least squares estimates of the smoothing parameters included in the smoothing algorithm hold strong conver gence properties under suitable conditions. Then we show the mean squared errors and the limiting distributions of the forecast errors for some stochastic processes. Finally, numerical studies are performed to evaluate the forecasting performance of the Holt-Winters method.