[R] HoltWinters in R 2.14.0

[Uwe Ligges]

On 05.11.2011 06:02, TimothyDalbey wrote:
> You are 100% correct by my estimation however I suppose I am looking for the conditions in the data that might cause the optim() or optimize() functions to fail.

Yes.


> I took a brief tour of the HoltWinters source but the code available (readable) online seemed outdated (by way of conflicting descriptions in versioning.).

The sources are available on CRAN for all versions that are around.

 > I'll have another poke around the source - that is unless there is 
someone out there that can clearly state why optimize() fails within the 
context of the HoltWinters class v. 2.14.0.

It always failed, but it did not always report it before by an ERROR 
message as Brian Ripley explained already.

Best,
Uwe Ligges



>
> On Nov 4, 2011, at 8:38 PM, "Prof Brian Ripley [via R]"<ml-node+s789695n3992395h25 at n4.nabble.com>  wrote:
>
>> On Fri, 4 Nov 2011, R. Michael Weylandt wrote:
>>
>>> I believe there were some changes to Holt-Winters, specifically in re
>>> optimization that probably lead to your problem, but you'll have to
>>> provide more details. See the NEWS file for citations about the
>>> change. If you put example code/data others may be able to help you --
>>> I haven't updated yet so I can't be of much help.
>>>
>>> Michael
>>>
>>>
>>> On Fri, Nov 4, 2011 at 2:55 PM, TimothyDalbey<[hidden email]>  wrote:
>>>> Hey All,
>>>>
>>>> First time on these forums.  Thanks in advance.
>>>>
>>>> Soooo...  I have a process that was functioning well before the 2.14 update.
>>>> Now the HoltWinters function is throwing an error whereby I get the
>>>> following:
>>>>
>>>> Error in HoltWinters(sales.ts) : optimization failure
>> Most likely it was incorrect before.  You cannot assume that it was
>> actually 'functioning well': all the cases where we have seen this
>> message it was giving incorrect answers before and not detecting them.
>> And in all those cases the model was a bad fit and using starting
>> values for the optimization helped.
>>
>>>> I've been looking around to determine why this happens (see if I can test
>>>> the data beforehand) but I haven't come across anything.
>>>>
>>>> Any help appreciated!
>>
>> --
>> Brian D. Ripley,                  [hidden email]
>> Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
>> University of Oxford,             Tel:  +44 1865 272861 (self)
>> 1 South Parks Road,                     +44 1865 272866 (PA)
>> Oxford OX1 3TG, UK                Fax:  +44 1865 272595
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