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>).
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arimaarima-forecastingcesetsexponential-smoothingforecaststate-spacestatespacetime-seriesopenblascpp
13.74 score 101 stars 28 dependents 482 scripts 2.4k downloadsgreybox - 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.
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forecastingmodel-selectionmodel-selection-and-evaluationregressionregression-modelsstatisticscpp
10.63 score 31 stars 36 dependents 123 scripts 2.9k downloadslegion - 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.
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openblascpp
6.51 score 12 stars 1 dependents 5 scripts 824 downloadscomplex - Time Series Analysis and Forecasting Using Complex Variables
Implements the instruments for complex-valued modelling, including time series analysis and forecasting. This is based on the monograph by Svetunkov & Svetunkov (2024) <doi:10.1007/978-3-031-62608-1>.
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openblascpp
3.23 score 1 stars 17 scripts 240 downloads