Rlgt

Bayesian Exponential Smoothing Models with Trend Modifications

CRAN Package

An implementation of a number of Global Trend models for time series forecasting that are Bayesian generalizations and extensions of some Exponential Smoothing models. The main differences/additions include 1) nonlinear global trend, 2) Student-t error distribution, and 3) a function for the error size, so heteroscedasticity. The methods are particularly useful for short time series. When tested on the well-known M3 dataset, they are able to outperform all classical time series algorithms. The models are fitted with MCMC using the 'rstan' package.

  • Version0.2-2
  • R versionunknown
  • LicenseGPL-3
  • Needs compilation?Yes
  • Last release07/16/2024

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  • Depends4 packages
  • Imports2 packages
  • Suggests4 packages
  • Linking To6 packages