Forecast Combination in R
The R package ForecastComb presents functions to pool individual model forecasts using geometric- and regression-based forecast combination methods. ForecastComb combines the functionality of the packages ForecastCombinations and GeomComb under a unified user interface and convenience functions.
The forecast combination methods allow for 3 different input types:
Only training set
Training set + future forecasts
Full training + test set
Accuracy measures are provided accordingly, summary and plot functions have been created for the S3 classes. The function auto.combine() is an automated selection of the best combination method based on criterion optimisation in the training set.
Get started by installing the R software for statistical computing.
You can install the stable version on CRAN:
install.packages('ForecastComb', dependencies = TRUE)
You can also install the development version from Github
# install.packages("devtools") devtools::install_github("ceweiss/ForecastComb")
This package is free and open source software, licensed under GPL (>= 2).