comb_EIG3 {GeomComb} | R Documentation |
Trimmed Eigenvector Forecast Combination
Description
Computes forecast combination weights according to the trimmed eigenvector approach by Hsiao and Wan (2014) and produces forecasts for the test set, if provided.
Usage
comb_EIG3(x, ntop_pred = NULL, criterion = "RMSE")
Arguments
x |
An object of class |
ntop_pred |
Specifies the number of retained predictors. If |
criterion |
If |
Details
The underlying methodology of the trimmed eigenvector approach by Hsiao and Wan (2014) is the same as their standard eigenvector approach
.
The only difference is that the trimmed eigenvector approach pre-selects the models that serve as input for the forecast combination, only a subset of the available
forecast models is retained, while the models with the worst performance are discarded.
The number of retained forecast models is controlled via ntop_pred
. The user can choose whether to select this number, or leave the selection
to the inbuilt optimization algorithm (in that case ntop_pred = NULL
). If the optimization algorithm should select the best number of
retained models, the user must select the optimization criterion
: MAE, MAPE, or RMSE. After this trimming step, the weights and the combined
forecast are computed in the same way as in the standard eigenvector approach
.
The trimmed eigenvector approach takes note of the eigenvector approaches' property to treat y
and \mathbf{f}
symmetrically,
which bears the risk that the (non-trimmed) eigenvector approaches' performance could be severely impaired by one or a few models that
produce forecasts much worse than the average.
Value
Returns an object of class foreccomb_res
with the following components:
Method |
Returns the used forecast combination method. |
Models |
Returns the individual input models that were used for the forecast combinations. |
Weights |
Returns the combination weights obtained by applying the combination method to the training set. |
Top_Predictors |
Number of retained predictors. |
Ranking |
Ranking of the predictors that determines which models are removed in the trimming step. |
Fitted |
Returns the fitted values of the combination method for the training set. |
Accuracy_Train |
Returns range of summary measures of the forecast accuracy for the training set. |
Forecasts_Test |
Returns forecasts produced by the combination method for the test set. Only returned if input included a forecast matrix for the test set. |
Accuracy_Test |
Returns range of summary measures of the forecast accuracy for the test set. Only returned if input included a forecast matrix and a vector of actual values for the test set. |
Input_Data |
Returns the data forwarded to the method. |
Author(s)
Christoph E. Weiss and Gernot R. Roetzer
References
Hsiao, C., and Wan, S. K. (2014). Is There An Optimal Forecast Combination? Journal of Econometrics, 178(2), 294–309.
See Also
comb_EIG1
foreccomb
,
plot.foreccomb_res
,
summary.foreccomb_res
,
accuracy
Examples
obs <- rnorm(100)
preds <- matrix(rnorm(1000, 1), 100, 10)
train_o<-obs[1:80]
train_p<-preds[1:80,]
test_o<-obs[81:100]
test_p<-preds[81:100,]
## Number of retained models selected by the user:
data<-foreccomb(train_o, train_p, test_o, test_p)
comb_EIG3(data, ntop_pred = 2, criterion = NULL)
## Number of retained models selected by algorithm:
data<-foreccomb(train_o, train_p, test_o, test_p)
comb_EIG3(data, ntop_pred = NULL, criterion = "RMSE")