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flap: Forecast Linear Augmented Projection
The Forecast Linear Augmented Projection (flap) method reduces forecast variance by adjusting the forecasts of multivariate time series to be consistent with the forecasts of linear combinations (components) of the series by projecting all forecasts onto the space where the linear constraints are satisfied. The forecast variance can be reduced monotonically by including more components. For a given number of components, the flap method achieves maximum forecast variance reduction among linear projections.
Getting started
Browse package contents
Package details |
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| Author | Yangzhuoran Fin Yang [aut, cre] (<https://orcid.org/0000-0002-1232-8017>) |
| Maintainer | Yangzhuoran Fin Yang <yangyangzhuoran@gmail.com> |
| License | GPL (>= 3) |
| Version | 0.2.0 |
| URL | https://github.com/FinYang/flap |
| Package repository | View on CRAN |
| Installation |
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