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Builds a joint probabilistic forecast across series and horizons using adaptive copulas (Gaussian/t) with shrinkage-repaired correlations. At the low level it calls a probabilistic mixer per series and horizon, which backtests several simple predictors, predicts next-window Continuous Ranked Probability Score (CRPS), and converts those scores into softmax weights to form a calibrated mixture (r/q/p/dfun). The mixer blends eight simple predictors: a naive predictor that wraps the last move in a PERT distribution; an arima predictor using auto.arima for one-step forecasts; an Exponentially Weighted Moving Average (EWMA) gaussian predictor with mean/variance under a Gaussian; a historical bootstrap predictor that resamples past horizon-aligned moves; a drift residual bootstrap predictor combining linear trend with bootstrapped residuals; a volatility-scaled naive predictor centering on the last move and scaling by recent volatility; a robust median mad predictor using median/MAD with Laplace or Normal shape; and a shrunk quantile predictor that fits a few quantile regressions over time and interpolates to a full predictive. The function then couples the per-series mixtures on a common transform (additive/multiplicative/log-multiplicative), simulates coherent draws, and returns both transformed- and level-scale samplers and summaries.
| Version: | 1.0.0 |
| Depends: | R (≥ 4.1.0) |
| Imports: | mc2d (≥ 0.2.1), forecast (≥ 8.24.0), quantreg (≥ 6.1), MASS (≥ 7.3-65), imputeTS (≥ 3.4) |
| Suggests: | knitr, testthat (≥ 3.0.0) |
| Published: | 2026-02-06 |
| DOI: | 10.32614/CRAN.package.wired |
| Author: | Giancarlo Vercellino [aut, cre, cph] |
| Maintainer: | Giancarlo Vercellino <giancarlo.vercellino at gmail.com> |
| License: | GPL-3 |
| URL: | https://rpubs.com/giancarlo_vercellino/wired |
| NeedsCompilation: | no |
| Materials: | NEWS |
| CRAN checks: | wired results |
| Reference manual: | wired.html , wired.pdf |
| Package source: | wired_1.0.0.tar.gz |
| Windows binaries: | r-devel: wired_1.0.0.zip, r-release: not available, r-oldrel: not available |
| macOS binaries: | r-release (arm64): wired_1.0.0.tgz, r-oldrel (arm64): wired_1.0.0.tgz, r-release (x86_64): wired_1.0.0.tgz, r-oldrel (x86_64): wired_1.0.0.tgz |
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These binaries (installable software) and packages are in development.
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