Holt-Winters

Learn how to use Holt-Winters exponential smoothing for forecasting.

Understanding Holt-Winters

Past data is compressed using exponential smoothing via the Holt-Winters method to anticipate typical values for the present and the future. Exponential smoothing means smoothing a time series using an exponentially weighted moving average (EWMA). Like a rolling mean, it can be used on past data to make it smoother but also to make forecasts for future values.

An exponentially weighted moving average FtF_t is calculated as Ft=αxt+(1α)F ...