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HOLTWINTERS: MATLAB function to compute forecasts of the Holt-Winters exponential smoothing model

Author

Listed:
  • Rafal Weron

Programming Language

MATLAB

Abstract

[MAE,FX]=HOLTWINTERS(PARAM,S,X) returns the Mean Absolute Error (MAE) of 1-step ahead forecasts (FX) of the Holt-Winters exponential smoothing model with additive trend and additive seasonality for parameter vector PARAM = [alpha, beta, gamma], seasonality of period S and data series X.

Suggested Citation

  • Rafal Weron, 2017. "HOLTWINTERS: MATLAB function to compute forecasts of the Holt-Winters exponential smoothing model," HSC Software M17001, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
    • Handle: RePEc:wuu:hscode:m17001
    as

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    File URL: http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/hscode/holtwinters.m
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