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config-i1 / mes

Mixed Exponential Smoothing
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Develop the basic ETS model with normal distribution #1

Closed config-i1 closed 4 years ago

config-i1 commented 4 years ago

This means the implementation similar to Hyndman et al. (2008)

  1. Initialiser of the ETS model;
  2. Fitter of the ETS model;
  3. Estimator;
  4. Likelihood extractor;
  5. Conditional variance method;
  6. vcov() method;
  7. summary() in the alm() style;

Keep in mind the future lags variable and flexible structure of mes()

config-i1 commented 4 years ago

Sort of done. Things missing:

  1. Conditional variance;
  2. vcov() method - this should be done in #11;
  3. summary().