ngboostForecast | R Documentation |
Probabilistic time series forecasting via Natural Gradient Boosting for Probabilistic Prediction.
Duan, T et. al. (2019), NGBoost: Natural Gradient Boosting for Probabilistic Prediction.
## Not run: library(ngboostForecast) model <- NGBforecast$new(Dist = Dist("Normal"), Base = sklearner(module = "linear_model", class = "Ridge"), Score = Scores("LogScore"), natural_gradient = TRUE, n_estimators = 200, learning_rate = 0.1, minibatch_frac = 1, col_sample = 1, verbose = TRUE, verbose_eval = 100, tol = 1e-5) model$fit(y = AirPassengers, seasonal = TRUE, max_lag = 12, xreg = NULL, early_stopping_rounds = 10L) fc <- model$forecast(h = 12, level = c(90, 80), xreg = NULL) autoplot(fc) ## End(Not run)
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