Suppose you fit a time series with the ets
function from the forecast
package in R
:
library(forecast)
fit <- ets(USAccDeaths, model="MAM")
summary(fit)
# ETS(M,A,M)
#
# Call:
# ets(y = USAccDeaths, model = "MAM")
#
# Smoothing parameters:
# alpha = 0.4761
# beta = 0.0326
# gamma = 1e-04
# ...more output...
Is it possible to generate confidence intervals for the parameters (e.g. alpha
, beta
, gamma
)? If methods exist, are they restricted to certain taxonomies? That is, can this method be extended to ARIMA models?