legion

MaRDI QIDQ78583CRANFDO

Authors Ivan Svetunkov, Kandrika Fadhlan Pritularga

Last update 3 February 2025

Copyright license GNU Lesser General Public License, version 2.1

Software version identifier 0.1.2, PACKAGES.rds, 0.1.0, 0.1.1, 0.2.1

Description

Functions implementing multivariate state space models for purposes of time series analysis and forecasting. The focus of the package is on multivariate models, such as Vector Exponential Smoothing, Vector ETS (Error-Trend-Seasonal model) etc. It currently includes Vector Exponential Smoothing (VES, de Silva et al., 2010, <doi:10.1177/1471082X0901000401>), Vector ETS (Svetunkov et al., 2023, <doi:10.1016/j.ejor.2022.04.040>) and simulation function for VES.

Cites work

• A new taxonomy for vector exponential smoothing and its application to seasonal time series
• The vector innovations structural time series framework

Cited in

(1)

• complex

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