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problematic ets and stlm forecasts #12

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dashaub opened this issue Mar 16, 2016 · 1 comment
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problematic ets and stlm forecasts #12

dashaub opened this issue Mar 16, 2016 · 1 comment
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@dashaub
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dashaub commented Mar 16, 2016

ets() ignores seasonality for long-seasonal periods, e.g. plot(forecast(ets(taylor), h = 500)) These forecasts are really bad since we're not really estimating an ets model.

stlm() will produce an error on a series that is not periodic, e.g. set.seed(123); stlm(rnorm(100)). We could accept this error and concede that the user should manually remove the s model, or we could drop the ets/stlm models in these cases (and throw a warning). In the case of ets, it is easy to check if frequency > 24. Similarly for stlm(), we can easily check if it is a ts object with at least two periods. Both approaches have advantages/disadvantages.

@dashaub dashaub added the bug label Mar 16, 2016
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dashaub commented Mar 24, 2016

Fixed in b9d9176
If either of these conditions occur, the ets/stlm model will be ignored, and the ensemble will run without these problematic models.

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