Reference

All functions

agnosticgarchf()

ANY MODEL+GARCH(1, 1) forecasting

armagarchf()

ARMA(1, 1)-GARCH(1, 1) forecasting (with simulation)

basicf()

Basic forecasting (mean, median, random walk)

comb_GLMNET()

GLMNET Regression Forecast Combination

comb_OLS()

Ordinary Least Squares Forecast Combination

comb_Ridge()

Ridge Regression Forecast Combination

computeattention()

Compute global attention weights and context vectors for time series

conformalize()

Conformalize a forecasting function

create_2level_hts()

Create simple 2-level hierarchical time series

createtrendseason()

Create trend and seasonality features for univariate time series

direct_sampling()

Direct sampling

dynrmf()

Dynamic regression model

eatf()

Combined ets-arima-theta forecasts

example_2level_forecast()

Example usage

fit_func()

Fit univariate time series using caret ML model (for use with dynrmf)

fitforecast()

Fit and forecast for benchmarking purposes

garch11Fit()

GARCH(1,1) Model Fitting Function

garch11f()

GARCH(1,1) Forecasting Function

genericforecast()

Generic Forecasting Function (Unified interface)

geterror()

Get error metrics

getreturns()

Calculate returns or log-returns for multivariate time series

getsimulations()

Obtain simulations (when relevant) from a selected time series

glmthetaf()

Generalized Linear Model Theta Forecast

loessf()

Loess forecasting

loocvridge2f()

LOOCV for Ridge2 model

meboot()

Maximum Entropy Bootstrap for Time Series using Rcpp

mlarchf()

Conformalized Forecasting using Machine Learning (and statistical) models with ARCH effects

mlf()

Conformalized Forecasting using Machine Leaning models

plot(<foreccomb_res>)

Plot results from forecast combination model

plot(<garch11forecast>)

Plot Method for GARCH(1,1) Forecast Objects

plot(<mtsforecast>)

Plot multivariate time series forecast or residuals

plot_hts_forecast()

Plot forecast results with simulation intervals

plot_simulations()

Plot simulation paths

predict(<foreccomb_res>)

Prediction function for Forecast Combinations

predict_func()

Predict univariate time series using caret ML model(for use with dynrmf)

print(<garch11forecast>)

Print Method for GARCH(1,1) Forecast Objects

ridge2f()

Ridge2 model

rmultivariate()

Simulate multivariate data

sequential_conformal_hts()

Sequential split conformal prediction for hierarchical forecasting Returns simulations at both total and bottom levels

simple_forecast()

Simple ETS forecast function

splitts()

Partition a time series object

summary(<foreccomb_res>) print(<foreccomb_res_summary>)

Summary of Forecast Combination

summary(<garch11forecast>)

Summary Method for GARCH(1,1) Forecast Objects

topdown_forecast()

Top-down forecast using historical proportions

varf()

Vector Autoregressive model (adapted from vars::VAR)