The statsmodels developers are happy to announce release 0.12.0. 239 issues were closed in this release and 221 pull requests were merged.
Major new features include:
- New exponential smoothing model: ETS (Error, Trend, Seasonal)
- New dynamic factor model for large datasets and monthly/quarterly mixed frequency models
- Decomposition of forecast updates based on the "news"
- Sparse Cholesky Simulation Smoother
- Option to use Chandrasekhar recursions
- Two popular methods for forecasting time series, forecasting after STL decomposition and the Theta model
- Functions for constructing complex Deterministic Terms in time series models
- New statistics function: one-way ANOVA-type tests, hypothesis tests for 2-samples and meta-analysis.