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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?

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  • $\begingroup$ 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. $\endgroup$
    – Oxbowerce
    Apr 22, 2021 at 10:30
  • $\begingroup$ 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. $\endgroup$
    – Oldville
    Apr 22, 2021 at 10:53

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