Smooth forecasting with the smooth package in R (2301.01790v1)

Abstract: There are many forecasting related packages in R with varied popularity, the most famous of all being \texttt{forecast}, which implements several important forecasting approaches, such as ARIMA, ETS, TBATS and others. However, the main issue with the existing functionality is the lack of flexibility for research purposes, when it comes to modifying the implemented models. The R package \texttt{smooth} introduces a new approach to univariate forecasting, implementing ETS and ARIMA models in Single Source of Error (SSOE) state space form and implementing an advanced functionality for experiments and time series analysis. It builds upon the SSOE model and extends it by including explanatory variables, multiple frequencies, and introducing advanced forecasting instruments. In this paper, we explain the philosophy behind the package and show how the main functions work.