ngboostForecast {ngboostForecast}

Probabilistic Time Series Forecasting

Description

Probabilistic time series forecasting via Natural Gradient Boosting for Probabilistic Prediction.

References

Duan, T et. al. (2019), NGBoost: Natural Gradient Boosting for Probabilistic Prediction.

Examples

 

## Not run: 

library(ngboostForecast)

model <- NGBforecast$new(Dist = Dist("Normal"),
                         Base = sklearner(module = "linear_model",
                         class = "Ridge"),
                         Score = Scores("LogScore"),
                         natural_gradient = TRUE,
                         n_estimators = 200,
                         learning_rate =  0.1,
                         minibatch_frac = 1,
                         col_sample = 1,
                         verbose = TRUE,
                         verbose_eval = 100,
                         tol = 1e-5)
model$fit(y = AirPassengers, seasonal = TRUE, max_lag = 12, xreg = NULL,

early_stopping_rounds = 10L)

fc <- model$forecast(h = 12, level = c(90, 80), xreg = NULL)

autoplot(fc)


## End(Not run)