thiefModel {forecastHybrid}

Forecast ensemble using THieF

Description

Create a forecast ensemble using the theif() model

Usage

thiefModel(
  y,
  models = "aefnt",
  h = 2 * frequency(y),
  comb = c("struc", "mse", "ols", "bu", "shr", "sam"),
  verbose = FALSE
)

Arguments

y

the input time series

models

the models to use. These are specified the same way as hybridModel

h

the forecast horizon

comb

the combination method to use by thief

verbose

if TRUE, report the fitting status

Details

Use the "thief" package method for reconciling forecasts across the temporal hierarchy. The base models to be included in the ensemble are the same as those in hybridModel, but the stlm model cannot be included since it requires seasonal data.

Author(s)

David Shaub

See Also

thief

hybridModel

Examples

series <- subset(woolyrnq, end = 8)
thiefModel(series, models = "fz")