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[ENH] Rework ETS Forecaster #2939
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Looks good to me, I've fixed the one bug that seemed to exist, so otherwise set up with the right parameters, produces similar forecasts to statsmodels
our next move is to auto set the parameters alpha : float, default=0.1
Level smoothing parameter.
beta : float, default=0.01
Trend smoothing parameter.
gamma : float, default=0.01
Seasonal smoothing parameter. in fit, it doesnt really make sense for the user to set them, other packages dont and the forecasts are very sensitive to them. So ETS will fit the parameters in train, AutoETS will set the hyper parameters (additive etc) in fit using ETS |
test expected values changed because of the seasonality bug |
some adaptations of ETS to make it compliant. The basic structure of ETS is this
predict_value makes a step ahead prediction (and also returns two other variables, so maybe poorly named)
the default method would result in refitting ETS each time. It now calls fit once then iterates numba_predict
With no damping, now sets phi to the horizon
Not sure if I will make it "fit_is_empty" here, may be better to wait until we see how auto ets works.