The statsmodels developers are happy to announce the first release candidate for 0.12.0. 223 issues were closed in this release and 208 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