Hi Chad,
thank you so much for your reply.
I have just one more question about this:
If I have, let's say, an exponential smoothing or ARIMA model and I were to simulate a few multi-step trajectories for my time series,
can I expect the different forecasts to "fan out" for a large forecast horizon because of increasing uncertainty and error propagation?
Or should the difference between the forecasts stay more or less the same over time?
I'm still pretty new to state-space models and not quite sure I understand this.
Thanks again,
Alina