Exponential Smoothing State Space (ETS) model.
Calls forecast::ets() from package forecast.
Dictionary
This mlr3::Learner can be instantiated via the dictionary mlr3::mlr_learners or with the associated sugar function mlr3::lrn():
Meta Information
Task type: “fcst”
Predict Types: “response”, “quantiles”
Feature Types: “logical”, “integer”, “numeric”, “character”, “factor”, “ordered”, “POSIXct”, “Date”
Required Packages: mlr3, mlr3forecast, forecast
Parameters
| Id | Type | Default | Levels | Range |
| model | untyped | "ZZZ" | - | |
| damped | logical | NULL | TRUE, FALSE | - |
| alpha | numeric | NULL | \((-\infty, \infty)\) | |
| beta | numeric | NULL | \((-\infty, \infty)\) | |
| gamma | numeric | NULL | \((-\infty, \infty)\) | |
| phi | numeric | NULL | \((-\infty, \infty)\) | |
| additive.only | logical | FALSE | TRUE, FALSE | - |
| lambda | untyped | - | - | |
| biasadj | logical | FALSE | TRUE, FALSE | - |
| lower | untyped | c(rep(1e-04, 3), 0.8) | - | |
| upper | untyped | c(rep(0.9999, 3), 0.98) | - | |
| opt.crit | character | lik | lik, amse, mse, sigma, mae | - |
| nmse | integer | 3 | \([0, 30]\) | |
| bounds | character | both | both, usual, admissible | - |
| ic | character | aicc | aicc, aic, bic | - |
| restrict | logical | TRUE | TRUE, FALSE | - |
| allow.multiplicative.trend | logical | FALSE | TRUE, FALSE | - |
| na.action | character | na.contiguous | na.contiguous, na.interp, na.fail | - |
References
Hyndman, R.J., Koehler, A.B., Snyder, R.D., Grose, S. (2002). “A state space framework for automatic forecasting using exponential smoothing methods.” International J. Forecasting, 18(3), 439–454.
Hyndman, R.J., Akram, Md., Archibald, B. (2008). “The admissible parameter space for exponential smoothing models.” Annals of Statistical Mathematics, 60(2), 407–426.
Hyndman, R.J., Koehler, A.B., Ord, J.K., Snyder, R.D. (2008). Forecasting with exponential smoothing: the state space approach. Springer-Verlag. http://www.exponentialsmoothing.net.
See also
Chapter in the mlr3book: https://mlr3book.mlr-org.com/chapters/chapter2/data_and_basic_modeling.html#sec-learners
Package mlr3learners for a solid collection of essential learners.
Package mlr3extralearners for more learners.
as.data.table(mlr_learners)for a table of available Learners in the running session (depending on the loaded packages).mlr3pipelines to combine learners with pre- and postprocessing steps.
Package mlr3viz for some generic visualizations.
Extension packages for additional task types:
mlr3proba for probabilistic supervised regression and survival analysis.
mlr3cluster for unsupervised clustering.
mlr3tuning for tuning of hyperparameters, mlr3tuningspaces for established default tuning spaces.
Other Learner:
LearnerFcst,
mlr_learners_fcst.adam,
mlr_learners_fcst.arfima,
mlr_learners_fcst.arima,
mlr_learners_fcst.auto_adam,
mlr_learners_fcst.auto_arima,
mlr_learners_fcst.auto_ces,
mlr_learners_fcst.bats,
mlr_learners_fcst.ces,
mlr_learners_fcst.nnetar,
mlr_learners_fcst.tbats
Super classes
mlr3::Learner -> mlr3::LearnerRegr -> mlr3forecast::LearnerFcst -> mlr3forecast::LearnerFcstForecast -> LearnerFcstEts