Holt–Winters Exponential Smoothing

The Holt–Winters exponential smoothing method was first introduced more than half a century ago for the seasonal time series forecast and it is still one of the most popular forecasting systems widely used in production planning, inventory control, and many other application areas. Numerous empirical studies have confirmed the accuracy and robustness of this simple method, compared to many other sophisticated forecasting techniques. Recently, the underlying optimal time series models of this heuristic method have been found and they provide the theoretical foundation for obtaining the statistical properties of this method. This article aims to provide a succinct summary of the basic Holt–Winters method and help readers understand and appreciate this simple, yet powerful, forecasting technique. Keywords: forecasting; time series; trend; seasonal; Holt-Winters method

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