legion {legion} | R Documentation |
Legion package
Description
Package contains functions for multivariate time series forecasting
Details
Package: | legion |
Type: | Package |
Date: | 2021-02-18 - Inf |
License: | GPL-2 |
The following functions are included in the package:
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ves - Vector Exponential Smoothing.
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vets - Vector ETS-PIC model.
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oves - Multivariate occurrence ETS model.
Author(s)
Ivan Svetunkov
Kandrika Pritularga
Maintainer: Ivan Svetunkov <ivan@svetunkov.ru>
References
de Silva A., Hyndman R.J. and Snyder, R.D. (2010). The vector innovations structural time series framework: a simple approach to multivariate forecasting. Statistical Modelling, 10 (4), pp.353-374
Hyndman, R.J., Koehler, A.B., Ord, J.K., and Snyder, R.D. (2008) Forecasting with exponential smoothing: the state space approach, Springer-Verlag.
Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. New introduction to Multiple Time Series Analysis. Berlin, Heidelberg: Springer Berlin Heidelberg. doi:10.1007/978-3-540-27752-1
Chen H., Svetunkov I., Boylan J. (2021). A New Taxonomy for Vector Exponential Smoothing and Its Application to Seasonal Time Series.
See Also
Examples
## Not run: y <- cbind(rnorm(100,10,3),rnorm(100,10,3))
ves(y,h=20,holdout=TRUE)
## End(Not run)