R: Package Info

profoc-package {profoc}

R Documentation

Package Info

Description

Use multiple online-aggregation algorithms to combine probabilistic forecasts using CRPS Learning as described in Berrisch, Ziel: "CRPS Learning", 2021. The primary function of this package is called online.

doi:10.1016/j.jeconom.2021.11.008

Details

Index of help topics:

autoplot.batch          Autoplot method for batch models
autoplot.online         Autoplot method for online models
batch                   Probabilistic Forecast Combination - Batch
conline                 Create an conline Object from the conline C++
                        Class
init_experts_list       Create experts list to be used in conline class
make_basis_mats         Create a List of Basis Matrices
make_hat_mats           Create a List of Hat Matrices
make_knots              Create a vector of knots for splines
online                  Probabilistic Forecast Combination - Online
oracle                  Probabilistic Forecast Combination - Oracle
penalty                 B-Spline penalty
plot.batch              Plot method for batch models
plot.online             Plot method for online models
post_process_model      Post Process Data from conline Class
predict.online          Predict method for online models
print.batch             Print method for batch models
print.online            Print method for online models
profoc-package          Package Info
splines2_basis          Create B-Spline basis
summary.online          Summary method for online models
tidy.online.experts_loss
                        Tidy the Experts' losses of an Online object
tidy.online.forecaster_loss
                        Tidy the Experts' losses of an Online object
tidy.online.predictions
                        Tidy the Predictions of an Online object
tidy.online.weights     Tidy the Weights of an Online object
update.online           Update method for online models

Author(s)

Maintainer: Jonathan Berrisch mailto:Jonathan@Berrisch.biz

Co-Author: Florian Ziel

References

Berrisch, Ziel: "CRPS Learning", 2021