In the combination_ensemble() function, the inverse variances weights are calculated using innovation residuals (residuals on the transformed scale) obtained from individual models rather than response residuals. I think that's a mistake especially if it's a multiplicative error model for ETS.
This may be fixed by replacing the original code in the combination_ensemble() function
inv_var <- map_dbl(x, function(x) 1/var(residuals(x)$.resid, na.rm = TRUE))
with
inv_var <- map_dbl(x, function(x) 1/var(residuals(x, type = "response")[[".resid"]], na.rm = TRUE)).
In the
combination_ensemble()function, the inverse variances weights are calculated using innovation residuals (residuals on the transformed scale) obtained from individual models rather than response residuals. I think that's a mistake especially if it's a multiplicative error model for ETS. This may be fixed by replacing the original code in thecombination_ensemble()functioninv_var <- map_dbl(x, function(x) 1/var(residuals(x)$.resid, na.rm = TRUE))withinv_var <- map_dbl(x, function(x) 1/var(residuals(x, type = "response")[[".resid"]], na.rm = TRUE)).