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Chapter 6 Pure multiplicative ADAM ETS

There is a reason why we discuss pure multiplicative ADAM ETS models separately: they are suitable for the positive data, especially when the level is low, yet they do not rely on prior data transformations (such as taking logarithms or applying a power transform), which makes them useful in a variety of contexts. However, the models discussed in this chapter are not easy to work with – they typically do not have closed forms for the conditional \(h\) steps ahead mean and variance and do not have well-defined parameter space. Furthermore, they make more sense in conjunction with positive-valued distributions, although they also work with the Normal one. All these aspects are discussed in this chapter.