All functions |
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ARMA(1, 1)-GARCH(1, 1) forecasting (with simulation) |
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Basic forecasting (mean, median, random walk) |
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GLMNET Regression Forecast Combination |
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Ordinary Least Squares Forecast Combination |
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Ridge Regression Forecast Combination |
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Conformalize a forecasting function |
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Create trend and seasonality features for univariate time series |
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Dynamic regression model |
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Combined ets-arima-theta forecasts |
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Fit univariate time series using caret ML model (for use with |
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Fit and forecast for benchmarking purposes |
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Generic Forecasting Function |
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Calculate returns or log-returns for multivariate time series |
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Obtain simulations (when relevant) from a selected time series |
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Loess forecasting |
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LOOCV for Ridge2 model |
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Plot results from forecast combination model |
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Plot multivariate time series forecast or residuals |
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Prediction function for Forecast Combinations |
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Predict univariate time series using caret ML model(for use with |
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Ridge2 model |
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Summary of Forecast Combination |
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Vector Autoregressive model (adapted from vars::VAR) |