flap: Forecast Linear Augmented Projection
The Forecast Linear Augmented Projection (flap) method reduces forecast variance by adjusting the forecasts of multivariate time series to be consistent with the forecasts of linear combinations (components) of the series by projecting all forecasts onto the space where the linear constraints are satisfied. The forecast variance can be reduced monotonically by including more components. For a given number of components, the flap method achieves maximum forecast variance reduction among linear projections.
| Version: | 0.1.0 |
| Imports: | corpcor, utils |
| Suggests: | forecast, stats |
| Published: | 2024-02-28 |
| Author: | Yangzhuoran Fin Yang
 [aut, cre] |
| Maintainer: | Yangzhuoran Fin Yang <yangyangzhuoran at gmail.com> |
| BugReports: | https://github.com/FinYang/flap/issues/ |
| License: | GPL (≥ 3) |
| URL: | https://github.com/FinYang/flap |
| NeedsCompilation: | no |
| Materials: | README NEWS |
| In views: | TimeSeries |
| CRAN checks: | flap results |
Documentation:
| Reference manual: | flap.pdf |
Downloads:
| Package source: | flap_0.1.0.tar.gz |
| Windows binaries: | r-devel: flap_0.1.0.zip, r-release: flap_0.1.0.zip, r-oldrel: flap_0.1.0.zip |
| macOS binaries: | r-release (arm64): flap_0.1.0.tgz, r-oldrel (arm64): flap_0.1.0.tgz, r-release (x86_64): flap_0.1.0.tgz, r-oldrel (x86_64): flap_0.1.0.tgz |
Linking:
Please use the canonical form https://CRAN.R-project.org/package=flap to link to this page.