Merge pull request #331 from LAMPSPUC/unobserved_components_with_exp

add explanatory variables to unobserved_components
LAMPSPUC · Oct 9, 2024 · b15f942 · b15f942
2 parents b0fe56c + 5c4ea4b
commit b15f942
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Showing 4 changed files with 338 additions and 68 deletions.
diff --git a/src/StateSpaceModels.jl b/src/StateSpaceModels.jl
@@ -50,6 +50,7 @@ include("models/basicstructural_multivariate.jl")
 include("models/sarima.jl")
 include("models/linear_regression.jl")
 include("models/unobserved_components.jl")
+
 include("models/exponential_smoothing.jl")
 include("models/naive_models.jl")
 include("models/dar.jl")

diff --git a/src/forecast.jl b/src/forecast.jl
@@ -89,13 +89,13 @@ function forecast(
     for i in 1:steps_ahead
         if isunivariate(model)
             expected_value[i] = [
-                dot(model.system.Z[end - steps_ahead + i - 1], fo.a[end - steps_ahead + i - 1]) +
-                model.system.d[end - steps_ahead + i - 1],
+                dot(forecasting_model.system.Z[end - steps_ahead + i], fo.a[end - steps_ahead + i - 1]) +
+                forecasting_model.system.d[end - steps_ahead + i],
             ]
         else
             expected_value[i] =
-                model.system.Z[end - steps_ahead + i - 1] * fo.a[end - steps_ahead + i - 1] +
-                model.system.d[end - steps_ahead + i - 1]
+                forecasting_model.system.Z[end - steps_ahead + i] * fo.a[end - steps_ahead + i - 1] +
+                forecasting_model.system.d[end - steps_ahead + i]
         end
         covariance[i] = fo.F[end - steps_ahead + i]
     end