config-i1 / mes

Mixed Exponential Smoothing
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xreg with predicted values #49

Open config-i1 opened 3 years ago

config-i1 commented 3 years ago

There should be a mechanism of defining, which variables should be predicted and which should be used as is. A method preparing explanatory variables is needed.

When the variable is marked for prediction this is what should happen inside the function:

  1. Predict each marked explanatory variable;
  2. Use fitted values for the estimation;
  3. Use point forecasts for forecasting;
  4. Use covariances between variables for the variance calculation;
  5. Use (3) and (4) for the final forecasts.