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Open AccessArticle

Initialization Methods for Multiple Seasonal Holt–Winters Forecasting Models

1
Department of Applied Statistics and Operational Research and Quality, Universitat Politècnica de València, 46022 Valencia, Spain
2
Department of Computer Science, Pablo de Olavide University, 41013 Sevilla, Spain
*
Author to whom correspondence should be addressed.
Mathematics 2020, 8(2), 268; https://doi.org/10.3390/math8020268
Received: 8 January 2020 / Revised: 7 February 2020 / Accepted: 13 February 2020 / Published: 18 February 2020
(This article belongs to the Section Financial Mathematics)
The Holt–Winters models are one of the most popular forecasting algorithms. As well-known, these models are recursive and thus, an initialization value is needed to feed the model, being that a proper initialization of the Holt–Winters models is crucial for obtaining a good accuracy of the predictions. Moreover, the introduction of multiple seasonal Holt–Winters models requires a new development of methods for seed initialization and obtaining initial values. This work proposes new initialization methods based on the adaptation of the traditional methods developed for a single seasonality in order to include multiple seasonalities. Thus, new methods to initialize the level, trend, and seasonality in multiple seasonal Holt–Winters models are presented. These new methods are tested with an application for electricity demand in Spain and analyzed for their impact on the accuracy of forecasts. As a consequence of the analysis carried out, which initialization method to use for the level, trend, and seasonality in multiple seasonal Holt–Winters models with an additive and multiplicative trend is provided. View Full-Text
Keywords: forecasting; multiple seasonal periods; Holt–Winters, initialization forecasting; multiple seasonal periods; Holt–Winters, initialization
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MDPI and ACS Style

Trull, O.; García-Díaz, J.C.; Troncoso, A. Initialization Methods for Multiple Seasonal Holt–Winters Forecasting Models. Mathematics 2020, 8, 268. https://doi.org/10.3390/math8020268

AMA Style

Trull O, García-Díaz JC, Troncoso A. Initialization Methods for Multiple Seasonal Holt–Winters Forecasting Models. Mathematics. 2020; 8(2):268. https://doi.org/10.3390/math8020268

Chicago/Turabian Style

Trull, Oscar; García-Díaz, Juan C.; Troncoso, Alicia. 2020. "Initialization Methods for Multiple Seasonal Holt–Winters Forecasting Models" Mathematics 8, no. 2: 268. https://doi.org/10.3390/math8020268

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