I'm trying to fit a mixture model to a time series in order to do forecasts (averaging an arima, an ets and an stlf model).
Is there an R package that can handle this?
I've managed to find a number of packages that can handle mixture models, but they do not include forecasting.
In case there is no such package, is there a nice way to calculate the prediction intervals (the forecasts themselves will just be the average of the means).
Thanks!
