Holt-Winters Triple Exponential Smoothing Algorithm

Based on Ruby version

Usage

Forecast()

It calculates the initial values and returns the forecast for m periods.

# y           Time series array
# alpha       Level smoothing coefficient
# beta        Trend smoothing coefficient (increasing beta tightens fit)
# gamma       Seasonal smoothing coefficient
# period      A complete season's data consists of L periods. And we need
#             to estimate the trend factor from one period to the next. To
#             accomplish this, it is advisable to use two complete seasons;
#             that is, 2L periods.
# m           Extrapolated future data points
#             - 4 quarterly
#             - 7 weekly
#             - 12 monthly
Frecast(y, alpha, beta, gamma, period, m)

For details, see: http://www.itl.nist.gov/div898/handbook/pmc/section4/pmc43.htm http://www.itl.nist.gov/div898/handbook/pmc/section4/pmc435.htm