Mastering Data Analysis with R

Holt-Winters filtering

We can similarly remove the seasonal effects of a time-series by Holt-Winters filtering. Setting the beta parameter of the HoltWinters function to FALSE will result in a model with exponential smoothing practically suppressing all the outliers; setting the gamma argument to FALSE will result in a non-seasonal model. A quick example:

> nts <- ts(daily$N, frequency = 7)
> fit <- HoltWinters(nts, beta = FALSE, gamma = FALSE)
> plot(fit)

The red line represents the filtered time-series. We can also fit a double or triple exponential model on the time-series by enabling the beta and gamma parameters, resulting in a far better fit: ...