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_metricargument 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 theicargument. - Added
traceargument 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.