ets(y, model="ZZZ", damped=NULL, alpha=NULL, beta=NULL, gamma=NULL, phi=NULL, additive.only=FALSE, lambda=NULL, biasadj=FALSE, lower=c(rep(0.0001,3), 0.8), upper=c(rep(0.9999,3),0.98), opt.crit=c("lik","amse","mse","sigma","mae"), nmse=3, bounds=c("both","usual","admissible"), ic=c("aicc","aic","bic"), restrict=TRUE, allow.multiplicative.trend=FALSE, use.initial.values=FALSE, ...)
It is also possible for the model to be of class
"ets", and equal to the output from a previous call to
ets. In this case, the same model is fitted to
y without re-estimating any smoothing parameters. See also the
additive.onlyis set to
nmseforecast horizons), "sigma" (Standard deviation of residuals), "mae" (Mean of absolute residuals), or "lik" (Log-likelihood, the default).
"usual"indicates all parameters must lie between specified lower and upper bounds;
"admissible"indicates parameters must lie in the admissible space;
"both"(default) takes the intersection of these regions.
TRUE(default), the models with infinite variance will not be allowed.
TRUE, models with multiplicative trend are allowed when searching for a model. Otherwise, the model space excludes them. This argument is ignored if a multiplicative trend model is explicitly requested (e.g., using
modelis of class
"ets", then the initial values in the model are also not re-estimated.
ets".The generic accessor functions
residualsextract useful features of the value returned by
etsand associated functions.
The methodology is fully automatic. The only required argument for ets is the time series. The model is chosen automatically if not specified. This methodology performed extremely well on the M3-competition data. (See Hyndman, et al, 2002, below.)
Hyndman, R.J., Akram, Md., and Archibald, B. (2008) "The admissible parameter space for exponential smoothing models". Annals of Statistical Mathematics, 60(2), 407--426.
Hyndman, R.J., Koehler, A.B., Ord, J.K., and Snyder, R.D. (2008) Forecasting with exponential smoothing: the state space approach, Springer-Verlag. http://www.exponentialsmoothing.net.