Stacking ridge2f

y <- AirPassengers
y_train_test <- misc::splitts(y)
y_train <- y_train_test$training
y_test <- y_train_test$test
h_test <- length(y_test)

fcast_ets <- forecast::forecast(forecast::ets(y_train), h=h_test)$mean

## Registered S3 method overwritten by 'quantmod':
##   method            from
##   as.zoo.data.frame zoo

fcast_arima <- forecast::forecast(forecast::auto.arima(y_train), h=h_test)$mean
fcast_theta <- forecast::thetaf(y=y_train, h=h_test)$mean

par(mfrow=c(1, 2))

plot(ahead::ridge2f(y_test, lags=10L, 
                    xreg = cbind(fcast_ets, 
                                 fcast_arima, 
                                 fcast_theta), 
                    h=40L,
                    B=250L,
                    type_pi="blockbootstrap"
                    ))

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z_test <- cbind(y_test, 
                fcast_ets, 
                fcast_arima, 
                fcast_theta)
colnames(z_test) <- c("true", "ets", "arima", "theta")

fcast_z_test <- ahead::ridge2f(z_test, 
               lags=7L, 
               h=40L,
               B=250L,
              type_pi="blockbootstrap")

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plot(fcast_z_test, "true")