"tsSelect Package - Pick the best time series model"
This package has as input a Time Series object.
The first step fits a series of models:
Naive model (all forecasts = last observation)
Seasonal Naive model (each forecast is equal to the last observed value from the same season)
'drift' model (adds a "trend" over time to the naive method)
tslm_1 (linear-regression by 'trend')
tslm_2 (linear-regression by 'trend' and 'season')
Exponential smoothing models (with several variations)
ARIMA (with and without stepwise selection)
The second step picks the model with lowest error measures, either by a specific measure or by majority vote, among all possible error measures.
The different error measures are: ME, RMSE, MAE, MPE ,MAPE, MASE, ACF1