# Multivariate time series forecasting with the extended Theta method

I am looking for an implementation (better if in Python) of the extended Theta method for multivariate time series forecasting, presented in the following paper:

D. Thomakos, K. Nikolopoulos, Forecasting Multivariate Time Series with the Theta Method, J. Forecast. 34, 220–229 (2015)

Any suggestion?

• Without having fully read the paper, have you looked at the statsmodel implementation? They refer to both the initial 2000 paper as well as the 2015 preprint with the improvements. Apr 22 at 10:30
• They refer to a 2015 paper that is not the one I indicated in my query. Indeed, the statsmodel implementation addresses the univariate case only. Apr 22 at 10:53