ceweiss/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)
Version1.3.1
URL https://github.com/ceweiss/ForecastComb
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
install.packages("devtools")
library(devtools)
install_github("ceweiss/ForecastComb")
ceweiss/ForecastComb documentation built on Aug. 9, 2018, 11:33 a.m.