In R, how can you use Holt-Winters smoothing for a financial ("business-day")-based time series?
(For example, a stock data time series has an irregular time index).
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79answers:
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A:
You don't, for the reasons I gave you in response to your previous question today: because HoltWinters needs ts, you cannot (easily) use it on irregular time series.
You can approximate it by, say, sampling every Wednesday and creating 52-week years from that. But there is no way around the basic fact that "business day"-based series are irregular.
Dirk Eddelbuettel
2010-10-02 22:55:37
you can easily by modelling the irregular time series without a seasonal component, i.e. setting gamma=FALSE, as OP answered himself in his previous question. That's a valid HoltWinters model.
Joris Meys
2010-10-03 00:50:00
A:
As Dirk said there is no solid way to do this. Even if it runs (gamma=F) it will use a fixed gain on each observation, that is, it will ignore the fact that a week-end is 3 times longer than your other delta times.
It gets worse with intraday data. I think your best bet is to implement the Holt Winters filter yourself. It's actually not all that hard...
Dr G
2010-10-04 16:20:05