I am using the
forecast package in R. I wanted to know how the
ets() function finds the value of $alpha$, $beta$ and $gamma$?
Is it by minimizing the SSE or some other criteria?
The default is MLE. The argument
opt.crit controls the optimization criterion. from the help file:
Optimization criterion. One of "mse" (Mean Square Error), "amse" (Average MSE over first nmse forecast horizons), "sigma" (Standard deviation of residuals), "mae" (Mean of absolute residuals), or "lik" (Log-likelihood, the default).