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@mitchelloharawild mitchelloharawild released this 08 Mar 02:53

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, the forecast() method now supports
    bootstrap forecasting via this new method.

Improvements

  • Added the selection_metric argument to ARIMA(), which allows more control
    over the measure used to select the best model. By default this function will
    extract the information criteria specified by the ic argument.
  • Added trace argument for tracing the selection procedure used in ARIMA()

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.