smooth - Forecasting Using State Space Models

Functions implementing Single Source of Error state space models for purposes of time series analysis and forecasting. The package includes ADAM (Svetunkov, 2023, <https://openforecast.org/adam/>), Exponential Smoothing (Hyndman et al., 2008, <doi: 10.1007/978-3-540-71918-2>), SARIMA (Svetunkov & Boylan, 2019 <doi: 10.1080/00207543.2019.1600764>), Complex Exponential Smoothing (Svetunkov & Kourentzes, 2018, <doi: 10.13140/RG.2.2.24986.29123>), Simple Moving Average (Svetunkov & Petropoulos, 2018 <doi: 10.1080/00207543.2017.1380326>) and several simulation functions. It also allows dealing with intermittent demand based on the iETS framework (Svetunkov & Boylan, 2019, <doi: 10.13140/RG.2.2.35897.06242>).

Last updated 27 days ago

arimaarima-forecastingcesetsexponential-smoothingforecaststate-spacetime-seriesopenblascpp

13.42 score 90 stars 25 dependents 398 scripts 5.4k downloads

greybox - Toolbox for Model Building and Forecasting

Implements functions and instruments for regression model building and its application to forecasting. The main scope of the package is in variables selection and models specification for cases of time series data. This includes promotional modelling, selection between different dynamic regressions with non-standard distributions of errors, selection based on cross validation, solutions to the fat regression model problem and more. Models developed in the package are tailored specifically for forecasting purposes. So as a results there are several methods that allow producing forecasts from these models and visualising them.

Last updated 11 days ago

forecastingmodel-selectionmodel-selection-and-evaluationregressionregression-modelsstatisticscpp

10.88 score 31 stars 34 dependents 97 scripts 4.1k downloads

legion - Forecasting Using Multivariate Models

Functions implementing multivariate state space models for purposes of time series analysis and forecasting. The focus of the package is on multivariate models, such as Vector Exponential Smoothing, Vector ETS (Error-Trend-Seasonal model) etc. It currently includes Vector Exponential Smoothing (VES, de Silva et al., 2010, <doi:10.1177/1471082X0901000401>), Vector ETS (Svetunkov et al., 2023, <doi:10.1016/j.ejor.2022.04.040>) and simulation function for VES.

Last updated 3 months ago

openblascpp

6.75 score 9 stars 1 dependents 1 scripts 340 downloads

complex - Time Series Analysis and Forecasting Using Complex Variables

Set of function implementing the instruments for complex-valued modelling, including time series analysis and forecasting. This is based on the monograph by Svetunkov Sergey and Svetunkov Ivan "Complex-valued Econometrics with Examples in R" which is in press by Springer (expected to be published in 2024).

Last updated 4 months ago

openblascpp

3.83 score 1 stars 15 scripts 240 downloads