legion: Legion package

In legion: Forecasting Using Multivariate Models

Legion package

Description

Package contains functions for multivariate time series forecasting

Details

Package:	legion
Type:	Package
Date:	2021-02-18 - Inf
License:	GPL-2

The following functions are included in the package:

• ves - Vector Exponential Smoothing.

• vets - Vector ETS-PIC model.

• oves - Multivariate occurrence ETS model.

Author(s)

Ivan Svetunkov

Kandrika Pritularga

Maintainer: Ivan Svetunkov <[e-mail]>

References

• de Silva A., Hyndman R.J. and Snyder, R.D. (2010). The vector innovations structural time series framework: a simple approach to multivariate forecasting. Statistical Modelling, 10 (4), pp.353-374

• Hyndman, R.J., Koehler, A.B., Ord, J.K., and Snyder, R.D. (2008) Forecasting with exponential smoothing: the state space approach, Springer-Verlag.

• Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. New introduction to Multiple Time Series Analysis. Berlin, Heidelberg: Springer Berlin Heidelberg. doi: 10.1007/978-3-540-27752-1

• Chen H., Svetunkov I., Boylan J. (2021). A New Taxonomy for Vector Exponential Smoothing and Its Application to Seasonal Time Series.

See Also

forecast, es, adam

Examples

## Not run: y <- cbind(rnorm(100,10,3),rnorm(100,10,3))

ves(y,h=20,holdout=TRUE)
## End(Not run)

legion documentation built on Feb. 16, 2023, 5:34 p.m.