Exponential Smoothing with NumPyro: State Space Form

In the blog post “Notes on Exponential Smoothing with NumPyro” we implemented the damped Holt-Winters model in the component form of Hyndman & Athanasopoulos, FPP3 , §8.3 . A very nice observation was raised by @theorashid in issue #193 :&#xA; when we forecast with the component-form model the credible intervals barely widen across the horizon . The reason is subtle but important. Quoting the…