rkevinburton at charter.net
2009-Aug-20  14:50 UTC
[R] predict.HoltWinters source misunderstanding.
If I look in the stats package for the 'R' source code for
predict.HoltWinters I see the following lines:
    vars <- function(h) {
        psi <- function(j) object$alpha * (1 + j * object$beta) + 
            (j%%f == 0) * object$gamma * (1 - object$alpha)
        var(residuals(object)) * if (object$seasonal == "additive") 
            sum(1, (h > 1) * sapply(1L:(h - 1), function(j)
crossprod(psi(j))))
There is more source code but my question is on the call to crossprod(psi(j)).
Looking at the psi function I could see no elements that are vectors (or
matrices) or that result in such. In fact if I replace the call to crossprod
with:
            sum(1, (h > 1) * sapply(1L:(h - 1), function(j) {
                                                              r <- psi(j)
                                                              r*r
                                                            } ))
I get the same results. If I further augment my test by printing out the length
of the return value from 'psi' I can see no case where 'psi'
would return anything but a single number. So my question is, why the call to
crossprod when simply squaring the number will do. Am I missing a case when the
members of the HoltWinters fit would be vectors and then crossprod would be
appropriate or is this just an oversight?
Thank you.
Kevin