search

config-i1 / mes

Mixed Exponential Smoothing
0 stars 0 forks source link

Uncertainty in the smoothing parameters and initial states #24

Closed config-i1 closed 3 years ago

config-i1 commented 4 years ago

Several steps to do:

  1. Implement stuff with the variance of smoothing parameters,
  2. Implement stuff with the variance of initials.
  3. Combine the two.
config-i1 commented 3 years ago

An alternative is the "refitted" method, which fits the same ETS model to the data, but with random parameters.

config-i1 commented 3 years ago

This is now done via refit() and reforecast() functions for ETS. Things left:

  1. Stuff for ARIMA,
  2. Stuff for ETSX / ARIMAX.
config-i1 commented 3 years ago

Done for all models via refit() method