The theta family of models has been shown to perform well in various datasets such as M3.

StatsForecast

includes four models of the family:

Theta

,

OptimizedTheta

,

DynamicTheta

,

DynamicOptimizedTheta

. The implementation is based on the work of Jose A. Fioruccia, Tiago R. Pellegrini, Francisco Louzada, Fotios Petropoulos, and Anne B.Koehlerf, and optimized using numba.