Parameter value typo in Holt-ARIMA equivalence #93
muratg641
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No, what is written is correct. In Section 8.5, we define β = α β* where β* is the conventional parameterization for Holt's method. |
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In Section 9.10 of the book's third edition, there is Table 9.4, showing equivalence relationships between ETS and ARIMA models. In the second line, which is about the equivalence of Holt's linear method and ARIMA(0,2,2), the equality$\theta_1 = \alpha + \beta - 2$ should actually be $\theta_1 = \alpha + \alpha \beta - 2$ . Am I correct?
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