Holt-Winters D-E Smoothing in Julia

[Philip Tellis]

Does anyone know if there's a Holt-Winters Double-Exponential Smoothing module for Julia?

It's available in R: http://astrostatistics.psu.edu/su07/R/html/stats/html/HoltWinters.html

[Tom Short]

Given the lack of replies, I'd guess that the answer is no. Searching "holt-winters julia jl" didn't turn up anything.

Your options might be:

* Use RCall to call the function in R. RCall is still rather young.

* Use PyCall to call a function in Python. PyCall is fairly mature.

* Implement your own version in Julia. As a starting point, you can use R or Python code. The following Python code is more compatible with the MIT license used by StatsBase.jl than the R code:

https://pythonhosted.org/pycast/_modules/pycast/methods/exponentialsmoothing.html#ExponentialSmoothing

The best starting point might be the following MIT-licensed code in Ruby that looks pretty clean.

https://github.com/cmdrkeene/holt_winters/blob/master/lib/holt_winters.rb

[Philip Tellis]

Thank you.

[colint...@gmail.com]

Hi Philip,

Julia doesn't have much in the way of time-series econometrics yet. However, I'll second the recommendation for RCall. I tried it out for the first time earlier this week wrapping R's arima functionaity and it has worked very well for me thus far. I'll post the code to github sometime next week (I can post a reply here with a link when I do so if you like), although there really isn't that much to it. Most of the work involves breaking down more complicated objects from either language into simpler objects (e.g. concrete types or arrays of concrete types) that can be passed between Julia and the embedded R without a problem).

While doing the above, I also had a look at wrapping some of Rob Hyndman's forecast library for R which (I think?) has the exact functionality you're after. It looks like it should be pretty straightforward.

As mentioned in other responses, just be aware of the difference between MIT license and GPL, as I think Rob Hyndman's forecast library is GNU version 3, which is a lot more restrictive than MIT.

Cheers,

Colin

[Philip Tellis]

Thanks Colin, we're probably going to write our own Holt-Winters implementation in Julia

[colint...@gmail.com]

Great! If you decide to open source it when done then please feel free to post a link into this thread or start a new thread on julia-stats as I for one would definitely be interested.

Cheers,

Colin

[Philip Tellis]

On Saturday, April 11, 2015 at 1:19:39 AM UTC-4, colint...@gmail.com wrote:

Great! If you decide to open source it when done then please feel free to post a link into this thread or start a new thread on julia-stats as I for one would definitely be interested.

Will do.