Forecasting seasonals and trends by exponentially weighted moving averages

Abstract

This brief memoir describes the context of the original development of the well-known Holt-Winters exponentially weighted average forecast methodology, both in terms of its concepts and its first computer implementation in 1960. The original motivation for the development of the methodology by Holt was the widespread need for a feasible technique that could be applied to the forecasting of sales on a product by product basis. Once introduced, the method has come to be widely applied as a practical technique. The Holt-Winters methodology also played an important part in stimulating the work of J.F. Muth on what came to be called rational expectations. Notwithstanding this implact, the methodology's theoretical basis has not before now been described in the literature, however as a result of the development of this memoir for this special issue of the Journal of Economic and Social Measurement on the history and evaluation of econometric software, by arrangement the original theory paper will now be published in a forthcoming issue of the International Journal of Forecasting.