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forecastHybrid (version 5.0.19)

Convenient Functions for Ensemble Time Series Forecasts

Description

Convenient functions for ensemble forecasts in R combining approaches from the 'forecast' package. Forecasts generated from auto.arima(), ets(), thetaf(), nnetar(), stlm(), tbats(), and snaive() can be combined with equal weights, weights based on in-sample errors (introduced by Bates & Granger (1969) ), or cross-validated weights. Cross validation for time series data with user-supplied models and forecasting functions is also supported to evaluate model accuracy.

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Version

Install

install.packages('forecastHybrid')

Monthly Downloads

3,588

Version

5.0.19

License

GPL-3

Issues

10

Pull Requests

0

Stars

80

Forks

24

Maintainer

David Shaub

Last Published

August 28th, 2020

Functions in forecastHybrid (5.0.19)

checkParallelArguments

Helper function to check the that the parallel arguments are valid
checkModelArgs

Helper function to test all the model arguments (e.g. a.args, e.args, etc)
checkCVArguments

Validate that CV window parameters are valid
getModelName

Translate character to model name
getModel

Return a forecast model function for a given model character
fitted.hybridModel

Extract Model Fitted Values
plotModelObjects

Plot the component models of a hybridModel object
plotFitted

Plot the fitted values of a hybridModel object
tsPartition

Generate training and test indices for time series cross validation
removeModels

Helper function to remove models that require more data
residuals.hybridModel

Extract Model Residuals
prepareTimeseries

Helper function to validate and clean the input time series
print.hybridModel

Print information about the hybridModel object
tsSubsetWithIndices

Subset time series with provided indices
forecast.thetam

Forecast using a Theta model
forecast.hybridModel

Hybrid forecast
is.hybridModel

Test if the object is a hybridModel object
hybridModel

Hybrid time series modeling
accuracy.cvts

Accuracy measures for cross-validated time series
summary.hybridModel

Print a summary of the hybridModel object
thiefModel

Forecast ensemble using THieF
accuracy.hybridModel

Accuracy measures for hybridModel objects
tsCombine

Combine multiple sequential time series
thetam

Theta method 'model'
plot.hybridModel

Plot a hybridModel object
unwrapParallelModels

Helper function used to unpack the fitted model objects from a list
plot.thetam

Plot components from Theta model
cvts

Cross validation for time series
extractForecasts

Extract cross validated rolling forecasts