Vector ETS in fable


Is it possible to implement Vector ETS models (if they exist), i.e. a multivariate version of ETS in the fable package?


We have not implemented vector ETS models in the fable framework. They do exist -- see Rob J Hyndman – The vector innovations structural time series framework: a simple approach to multivariate forecasting and Redirecting
They are implemented in the legion package.

Thanks. Any plans to implement in fable?

It's not on the list: Model checklist · Issue #41 · tidyverts/fable · GitHub