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Repository: holtwint

Implement the Additive and Multiplicative Holt-Winters Time Series Forecasting Algorithm

  • both the additive and multiplicative models are now implemented
  • values of (alpha, beta, gamma) can either be user-selected or optimally calculated via BFGS optimization using one-step-ahead-prediction MSD as the loss function
  • prediction intervals in addition to point estimates may be implemented in the future