Rlgt
Bayesian Exponential Smoothing Models with Trend Modifications
To Wang Ng, Daniel Schmidt, Christoph Bergmeir, Erwin Wibowo, Alexander Dokumentov, Xueying Long, Slawek Smyl
Last update: 15 September 2023
Copyright license: GNU General Public License, version 3.0
Software version identifier: 0.1-4, 0.1-2, 0.1-3, 0.2-0, 0.2-1
An implementation of a number of Global Trend models for time series forecasting that are Bayesian generalizations and extensions of some Exponential Smoothing models. The main differences/additions include 1) nonlinear global trend, 2) Student-t error distribution, and 3) a function for the error size, so heteroscedasticity. The methods are particularly useful for short time series. When tested on the well-known M3 dataset, they are able to outperform all classical time series algorithms. The models are fitted with MCMC using the 'rstan' package.
