Time Series Cross-Valiation
This is a package to automate the cross-validation of time-series models, particularly those created by the forecast and caret packages.
Install as follows:
You can then cross-validate different time series models as follows:
data("AirPassengers") x <- AirPassengers myControl <- tseriesControl(maxHorizon=4) theta_model <- cv.ts(x, thetaForecast, tsControl=myControl) arima_model <- cv.ts(x, auto.arimaForecast, tsControl=myControl) ets_model <- cv.ts(x, etsForecast, tsControl=myControl) theta_model$results arima_model$results ets_model$results
This package has been off my radar screen for a long time, and I need to write lots of documentation and tests. Please add issues to the issue tracker, and I welcome any pull requests. https://github.com/zachmayer/cv.ts/issues