[R-SIG-Finance] Frequency too high for ets?

rkevinburton at charter.net rkevinburton at charter.net
Mon Sep 22 20:38:12 CEST 2008

Thank you. I did get a valiuable technique for debugging that I didn't know before from your comments.

So from your comments I gather the limit for exponential smoothing is 24. Not having much experience with exponential smoothing is it unreasonable to expect an algorithm to handle frequencies > 24? I started out with daily data (365 observations per year). I quickly realized that there were not any available fitting algorithms that could handle that degree of resolution. I tried splitting the year in half and splitting the year into quarters (91 observations per quarter). I finally found that if I have 52 observations per year I can use arima to fit and ARIMA model to my data. That seemed like a compromise that I could live with but it was still a compromise. Now if I want to fit an exponential smoothing model I need to further reduce the frequency by more than a half. Are there other packages that can handle this? I would like to be able to forecast down to any given week in the year if possible. In other words if I feed in something like week 48 I would like to be able to handle this. Reommendations?

Thank you.


---- Josh Ulrich <josh.m.ulrich at gmail.com> wrote: 
> Look at the source:
> > x <- ts(rnorm(52*100),frequency=52)
> > debug(ets)
> > e <- ets(x)
> <snip>
> debug: m <- frequency(y)
> Browse[1]>
> debug: if (m > 24) stop("Frequency too high")
> Browse[1]>
> Error in ets(x) : Frequency too high
> --
> http://quantemplation.blogspot.com
> On Mon, Sep 22, 2008 at 12:15 PM,  <rkevinburton at charter.net> wrote:
> > I have a time series that is basically weekly data for a year. So the frequency on the time-series is 52 (52 weeks (obeservations)/year). I have 3+ years of data. I am trying to fit a model to this data using ets in the forecast package (exponential smoothing) but I get:
> >
> > Error in ets(.sublist$TimeSeries) : Frequency too high
> >
> > I was looking in the documentation for 'ets' and there was no mention of the limits but apparently 52 is "too high".  Any suggestions?
> >
> > Thank you.
> >
> > Kevin
> >
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