baggedETS

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Forecasting using the bagged ETS method

The bagged ETS forecasting method.

Keywords
ts
Usage
baggedETS(y, bootstrapped_series = bld.mbb.bootstrap(y, 100), ...)
Arguments
y

A numeric vector or time series of class ts.

bootstrapped_series

bootstrapped versions of y.

Other arguments passed to ets.

Details

This function implements the bagged ETS forecasting method described in Bergmeir et al. The ets function is applied to all bootstrapped series. Using the default parameters, the function bld.mbb.bootstrap is used to calculate the bootstrapped series with the Box-Cox and Loess-based decomposition (BLD) bootstrap. The function forecast.baggedETS can then be used to calculate forecasts.

Value

Returns an object of class "baggedETS".

The function print is used to obtain and print a summary of the results.

models

A list containing the fitted ETS ensemble models.

method

The name of the forecasting method as a character string

y

The original time series.

bootstrapped_series

The bootstrapped series.

etsargs

The arguments passed through to ets.

fitted

Fitted values (one-step forecasts). The mean is of the fitted values is calculated over the ensemble.

residuals

Original values minus fitted values.

References

Bergmeir, C., R. J. Hyndman, and J. M. Benitez (2016). Bagging Exponential Smoothing Methods using STL Decomposition and Box-Cox Transformation. International Journal of Forecasting 32, 303-312.

Aliases
  • baggedETS
  • print.baggedETS
Examples
# NOT RUN {
fit <- baggedETS(WWWusage)
fcast <- forecast(fit)
plot(fcast)

# }
Documentation reproduced from package forecast, version 8.2, License: GPL-3

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