ForecastComb: Forecast Combination Methods

Provides geometric- and regression-based forecast combination methods under a unified user interface for the packages 'ForecastCombinations' and 'GeomComb'. Additionally, updated tools and convenience functions for data pre-processing are available in order to deal with common problems in forecast combination (missingness, collinearity). For method details see Hsiao C, Wan SK (2014). <doi:10.1016/j.jeconom.2013.11.003>, Hansen BE (2007). <doi:10.1111/j.1468-0262.2007.00785.x>, Elliott G, Gargano A, Timmermann A (2013). <doi:10.1016/j.jeconom.2013.04.017>, and Clemen RT (1989). <doi:10.1016/0169-2070(89)90012-5>.

Getting started

Package details

AuthorChristoph E. Weiss, Gernot R. Roetzer, Eran Raviv
MaintainerChristoph E. Weiss <[email protected]>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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ForecastComb documentation built on Aug. 8, 2018, 9:01 a.m.