tsensembler: Dynamic Ensembles for Time Series Forecasting

A framework for dynamically combining forecasting models for time series forecasting predictive tasks. It leverages machine learning models from other packages to automatically combine expert advice using metalearning and other state-of-the-art forecasting combination approaches. The predictive methods receive a data matrix as input, representing an embedded time series, and return a predictive ensemble model. The ensemble use generic functions 'predict()' and 'forecast()' to forecast future values of the time series. Moreover, an ensemble can be updated using methods, such as 'update_weights()' or 'update_base_models()'. A complete description of the methods can be found in: Cerqueira, V., Torgo, L., Pinto, F., and Soares, C. "Arbitrated Ensemble for Time Series Forecasting." to appear at: Joint European Conference on Machine Learning and Knowledge Discovery in Databases. Springer International Publishing, 2017; and Cerqueira, V., Torgo, L., and Soares, C.: "Arbitrated Ensemble for Solar Radiation Forecasting." International Work-Conference on Artificial Neural Networks. Springer, 2017 <doi:10.1007/978-3-319-59153-7_62>.

Version:	0.1.0
Imports:	xts, zoo, RcppRoll, methods, ranger, glmnet, earth, kernlab, Cubist, gbm, pls, monmlp, doParallel, foreach, xgboost, softImpute
Suggests:	testthat
Published:	2020-10-27
DOI:	10.32614/CRAN.package.tsensembler
Author:	Vitor Cerqueira [aut, cre], Luis Torgo [ctb], Carlos Soares [ctb]
Maintainer:	Vitor Cerqueira <cerqueira.vitormanuel at gmail.com>
License:	GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
URL:	https://github.com/vcerqueira/tsensembler
NeedsCompilation:	no
Citation:	tsensembler citation info
Materials:	README
CRAN checks:	tsensembler results

Documentation:

Reference manual:

tsensembler.pdf

Downloads:

Package source:	tsensembler_0.1.0.tar.gz
Windows binaries:	r-devel: tsensembler_0.1.0.zip, r-release: tsensembler_0.1.0.zip, r-oldrel: tsensembler_0.1.0.zip
macOS binaries:	r-release (arm64): tsensembler_0.1.0.tgz, r-oldrel (arm64): tsensembler_0.1.0.tgz, r-release (x86_64): tsensembler_0.1.0.tgz, r-oldrel (x86_64): tsensembler_0.1.0.tgz
Old sources:	tsensembler archive

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