I'm attempting to create a forecast from time series data that has observations only on weekdays. The goal is to produce a forecast that mirrors these data/predicts similar future data, having reasonable forecasted results for weekdays and either values of 0 on weekends or without data points on weekends.
I've been using msts in R (I have multiple seasonality) and tbats, which has been producing good results for me, aside from the aforementioned problem. If my input includes data points for weekends with values of 0 then future weekend values are forecasted much lower than weekdays, but are still non-zero. If input doesn't include the weekend data points then future weekend data are forecasted regardless, at approximately the level of the weekdays.
I have considered manually setting the weekend values to 0 after running the forecast, but it doesn't seem very elegant. I'd appreciate any direction you can give me.