smooth

Forecasting Using State Space Models

Last update: 17 September 2023

Copyright license: GNU Lesser General Public License, version 2.1

Software version identifier: 3.2.0, 1.4.3, 1.4.4, 1.4.5, 1.4.6, 1.4.7, 1.5.0, 1.5.1, 1.5.2, 1.6.0, 1.6.1, 1.6.3, 1.7.0, 1.9.0, 1.9.9, 2.0.0, 2.1.0, 2.1.1, 2.2.0, 2.2.1, 2.3.0, 2.3.1, 2.4.0, 2.4.1, 2.4.3, 2.4.4, 2.4.5, 2.4.6, 2.4.7, 2.5.0, 2.5.1, 2.5.2, 2.5.3, 2.5.4, 2.5.5, 2.5.6, 2.6.0, 3.0.0, 3.0.1, 3.1.0, 3.1.1, 3.1.2, 3.1.3, 3.1.4, 3.1.5, 3.1.6, 3.2.1, 4.0.0

Source code repository: https://github.com/cran/smooth

Description

Functions implementing Single Source of Error state space models for purposes of time series analysis and forecasting. The package includes ADAM (Svetunkov, 2023, <https://openforecast.org/adam/>), Exponential Smoothing (Hyndman et al., 2008, <doi:10.1007/978-3-540-71918-2>), SARIMA (Svetunkov & Boylan, 2019 <doi:10.1080/00207543.2019.1600764>), Complex Exponential Smoothing (Svetunkov & Kourentzes, 2018, <doi:10.13140/RG.2.2.24986.29123>), Simple Moving Average (Svetunkov & Petropoulos, 2018 <doi:10.1080/00207543.2017.1380326>) and several simulation functions. It also allows dealing with intermittent demand based on the iETS framework (Svetunkov & Boylan, 2019, <doi:10.13140/RG.2.2.35897.06242>).

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