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Model combination now uses a joint N-way convolution that correctly accounts
for the full residual covariance structure across all component models.
Added sum(), mean(), and weighted.mean() S3 methods for mdl_ts and mdl_lst objects, providing explicit N-way model combination with equal,
uniform, or custom weights respectively.
All model arithmetic operators (+, -, *, /) now produce a single model_combination object with correctly implied weights. Arbitrary nested
expressions such as ((m1 + m2)/2 + m3)/2 automatically flatten into a
single joint combination.
Bug fixes
combination_ensemble() now computes inverse-variance weights using
response residuals (type = "response") rather than innovation residuals.
This is particularly important for models where the innovation residual
variance is not comparable to the variance on the response scale, e.g. for
multiplicative ETS models (#320).
Replaced unintuitive behaviour of previous pairwise iterative approach for
model combination (e.g. (A + B + C)/3 as ((A + B) + C)/3) which used
pairwise covariances that yield different results for different orders of
models (#321).
Fixed computing training accuracy() with global models.
Improvements
Added with_bottom argument to coherent_smat() for inclusion of identity
matrix entries for bottom level time series. Setting this to FALSE produces
the A matrix (aggregated series only).
Added "bottom" attribute for coherent_smat() for safely identifying the
index positions of bottom level series via graph coherency structures.
Breaking changes
The mdl_df class for mable data frames will be renamed to mbl_df (a
mable data frame). This is to avoid a naming inconsistency with the mdl_ts
and mdl_lst (for local and global models respectively), and free the class
name for an eventual mdl_df multi-model class. The mbl_df class has been
added, and mdl_df will be removed in the next minor release (v0.9.0).