ForCombo: Forecast Combination based on Mean or Median

In ZehuaWu/gtm: Functions for Economic Nowcasting with Google Trends Data

Usage

ForCombo(..., type="mean")

Arguments

...	one or more output from functions maeforecast and Bagging for which the combined forecasts are calculated. The forecasts should have been made with the same forecasting window, window size, and forecasting horizon.
type	a character indicating whether the mean or median should be used for the combination. Default is "mean".

Value

Forecasts	data matrix, containing the point forecasts, realized values, forecast errors, signs of the forecasts and realized values, and success in predicting the signs.
MSE	numeric, mean squred error of the point forecasts.
SRatio	numeric, success ratio of the point forecasts. Success is claimed when the point forecasts and realized values have the same sign.

Examples

AR.For<-maeforecast(mydata, w_size=72, window="recursive",
        model="ar")
Lasso.For<-maeforecast(mydata, w_size=72, window="recursive",
        model="lasso")
ForCombo(AR.For, Lasso.For, type="mean")

ZehuaWu/gtm documentation built on June 4, 2019, 1:52 p.m.