CRAN v0.3.0
The release of fabletools v0.3.0 introduced general support for computing h-step
ahead fitted values, using the hfitted(<mdl>, h = ???)
function. This release
adds model-specific hfitted()
support to ARIMA and ETS models for improved
performance and accuracy.
This release adds improved support for refitting models, largely in thanks to
contributions by @Tim-TU.
It is also now possible to specify an arbitrary model selection criterion
function for automatic ARIMA()
model selection.
New features
- Added
refit()
method for NNETAR, MEAN, RW, SNAIVE, and NAIVE models
(#287, #289, #321. @Tim-TU). - Added
hfitted()
method for ETS and ARIMA, this allows fast estimation of
h-step ahead fitted values. - Added
generate()
method for AR, theforecast()
method now supports
bootstrap forecasting via this new method.
Improvements
- Added the
selection_metric
argument toARIMA()
, which allows more control
over the measure used to select the best model. By default this function will
extract the information criteria specified by theic
argument. - Added
trace
argument for tracing the selection procedure used inARIMA()
Bug fixes
- Fixed unnecessary warning when forecasting short horizons using
NNETAR()
. - Fixed
generate()
method for NNETAR models when data isn't scaled (#302). - Fixed
refit.ARIMA()
re-selecting constant instead of using the provided
model's constant usage. - Fixed use of exogenous regressors in
AR()
models.