search

mitchelloharawild / distributional

Vectorised distributions for R
https://pkg.mitchelloharawild.com/distributional
GNU General Public License v3.0
97 stars 15 forks source link

Simulated distributions with known mean #17

Closed mitchelloharawild closed 4 years ago

mitchelloharawild commented 4 years ago

cc @robjhyndman

Some forecast methods such as forecast.ETS() use the analytical forecast mean for the point forecast, and the simulated paths for the uncertainty. Should we create a new distribution modifier for distributions with known mean, or change the forecast behaviour to use sample means for point forecasts?

robjhyndman commented 4 years ago

The analytical means are probably a little more accurate, but I'm in favour of simplicity. And since you have to do the simulation anyway, I think we could just use the sample means.

mitchelloharawild commented 4 years ago

Great, thanks!