legion

Functions implementing multivariate state space models for purposes of time series analysis and forecasting. The focus of the package is on multivariate models, such as Vector Exponential Smoothing, Vector ETS (Error-Trend-Seasonal model) etc. It currently includes Vector Exponential Smoothing (VES, de Silva et al., 2010, doi:10.1177/1471082X0901000401), Vector ETS (Svetunkov et al., 2023, doi:10.1016/j.ejor.2022.04.040) and simulation function for VES.

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