Model | Point Forecast | Probabilistic Forecast | Insample fitted values | Probabilistic fitted values |
---|---|---|---|---|
AutoARIMA | ✅ | ✅ | ✅ | ✅ |
AutoETS | ✅ | ✅ | ✅ | ✅ |
AutoCES | ✅ | ✅ | ✅ | ✅ |
AutoTheta | ✅ | ✅ | ✅ | ✅ |
Model | Point Forecast | Probabilistic Forecast | Insample fitted values | Probabilistic fitted values |
---|---|---|---|---|
ARIMA | ✅ | ✅ | ✅ | ✅ |
AutoRegressive | ✅ | ✅ | ✅ | ✅ |
Model | Point Forecast | Probabilistic Forecast | Insample fitted values | Probabilistic fitted values |
---|---|---|---|---|
Theta | ✅ | ✅ | ✅ | ✅ |
OptimizedTheta | ✅ | ✅ | ✅ | ✅ |
DynamicTheta | ✅ | ✅ | ✅ | ✅ |
DynamicOptimizedTheta | ✅ | ✅ | ✅ | ✅ |
Model | Point Forecast | Probabilistic Forecast | Insample fitted values | Probabilistic fitted values |
---|---|---|---|---|
MSTL | ✅ | ✅ | ✅ | ✅ |
Model | Point Forecast | Probabilistic Forecast | Insample fitted values | Probabilistic fitted values |
---|---|---|---|---|
GARCH | ✅ | ✅ | ✅ | ✅ |
ARCH | ✅ | ✅ | ✅ | ✅ |
Model | Point Forecast | Probabilistic Forecast | Insample fitted values | Probabilistic fitted values |
---|---|---|---|---|
HistoricAverage | ✅ | ✅ | ✅ | ✅ |
Naive | ✅ | ✅ | ✅ | ✅ |
RandomWalkWithDrift | ✅ | ✅ | ✅ | ✅ |
SeasonalNaive | ✅ | ✅ | ✅ | ✅ |
WindowAverage | ✅ | |||
SeasonalWindowAverage | ✅ |
SimpleExponential
family for data with no
clear trend or seasonality.
Model | Point Forecast | Probabilistic Forecast | Insample fitted values | Probabilistic fitted values |
---|---|---|---|---|
SimpleExponentialSmoothing | ✅ | |||
SimpleExponentialSmoothingOptimized | ✅ | |||
SeasonalExponentialSmoothing | ✅ | |||
SeasonalExponentialSmoothingOptimized | ✅ | |||
Holt | ✅ | ✅ | ✅ | ✅ |
HoltWinters | ✅ | ✅ | ✅ | ✅ |
Model | Point Forecast | Probabilistic Forecast | Insample fitted values | Probabilistic fitted values |
---|---|---|---|---|
ADIDA | ✅ | |||
CrostonClassic | ✅ | |||
CrostonOptimized | ✅ | |||
CrostonSBA | ✅ | |||
IMAPA | ✅ | |||
TSB | ✅ |