legion: Legion package

In config-i1/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, [e-mail]

Kandrika Pritularga

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. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1007/978-3-540-27752-1")}

• Svetunkov, I., Chen, H., & Boylan, J. E. (2023). A new taxonomy for vector exponential smoothing and its application to seasonal time series. European Journal of Operational Research, 304(3), 964–980. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1016/j.ejor.2022.04.040")}

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)

config-i1/legion documentation built on Feb. 6, 2025, 5:05 p.m.