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config-i1 / mes

Mixed Exponential Smoothing
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xreg for factors #48

Closed config-i1 closed 3 years ago

config-i1 commented 4 years ago

If a user provides a factor, then expand it and make one and the same smoothing parameter for all levels of it. This way, if we provide factor for week of year, we would have a mechanism similar to the proper seasonal component.

config-i1 commented 3 years ago

Things to do:

  1. initialiser: remove redundant values of B from xreg;
  2. filler: get the ones that are there, reproduce the missing;
  3. initialiser: share persistence values;
  4. filler: get shared persistence values;
  5. Deal with provided initials and factors;
  6. xregSelector, update xregParametersMissing, xregParametersIncluded and xregParametersEstimated
  7. provided xreg persistence
  8. forecast.adam and xreg expansion
config-i1 commented 3 years ago

(1) - (4) are done locally. Things to do:

  1. Deal with provided initials and factors;
  2. xregSelector, update xregParametersMissing, xregParametersIncluded and xregParametersEstimated
  3. provided xreg persistence
  4. forecast.adam and xreg expansion
  5. FI=TRUE
config-i1 commented 3 years ago

Only xregSelector left

config-i1 commented 3 years ago

All done. But now refit() doesn't work with xreg

config-i1 commented 3 years ago

Done