Solved – Implement different variation of Holt Winter technique using R for 52 weeks of data

Question

As per my job requirement I have to do forecasting using only Holt Winter technique in R.I have weekly data for 2 and half years & I have to predict weekly.I'm planning to build time series with frequency 52. I'm seeing that HoltWinters() function in R can do only Additive trend-Additive Seasonal (A,A) & Additive trend -Multiplicative Seasonal Model (A,M). I want to try other models like (M,A),(M,M).
I saw these models can be done by ets() but the ets() has maximum frequency restriction of 24.

Can you please suggest me some method in R where I can use these models with 52 weeks of frequency?

Thanks in advance

Answer 1

Holt-Winters methods are inappropriate when you have frequency of 52 because they involve estimating 51 seasonal parameters which is clearly too many. With high frequency data you are much better off using Fourier terms. The analogous model to Holt-Winters is called a TBATS model, which you can fit using the tbats() function from the forecast package in R. See http://robjhyndman.com/hyndsight/forecasting-weekly-data/ for an example.