ProbReco: Score Optimal Probabilistic Forecast Reconciliation
Training of reconciliation weights for probabilistic forecasts to optimise total energy (or variogram) score using Stochastic Gradient Descent with automatically differentiated gradients. See Panagiotelis, Gamakumara, Athanasopoulos and Hyndman, (2020) <https://www.monash.edu/business/ebs/research/publications/ebs/wp26-2020.pdf> for a description of the methods.
| Version: | 0.1.0.1 |
| Depends: | R (≥ 3.5.0) |
| Imports: | Rcpp (≥ 1.0.2), purrr (≥ 0.3.2), mvtnorm, Rdpack |
| LinkingTo: | Rcpp, RcppEigen, StanHeaders (≥ 2.19.1), BH |
| Suggests: | knitr, rmarkdown, fable, dplyr, tidyr, magrittr, stringi |
| Published: | 2020-09-24 |
| Author: | Anastasios Panagiotelis
 [aut, cre] |
| Maintainer: | Anastasios Panagiotelis <anastasios.panagiotelis at sydney.edu.au> |
| BugReports: | https://github.com/anastasiospanagiotelis/ProbReco/issues |
| License: | GPL-3 |
| URL: | https://github.com/anastasiospanagiotelis/ProbReco |
| NeedsCompilation: | yes |
| Materials: | README |
| In views: | TimeSeries |
| CRAN checks: | ProbReco results |
Documentation:
| Reference manual: | ProbReco.pdf |
| Vignettes: |
ProbReco-with-fable ProbReco |
Downloads:
| Package source: | ProbReco_0.1.0.1.tar.gz |
| Windows binaries: | r-devel: ProbReco_0.1.0.1.zip, r-release: ProbReco_0.1.0.1.zip, r-oldrel: ProbReco_0.1.0.1.zip |
| macOS binaries: | r-release (arm64): ProbReco_0.1.0.1.tgz, r-oldrel (arm64): ProbReco_0.1.0.1.tgz, r-release (x86_64): ProbReco_0.1.0.1.tgz, r-oldrel (x86_64): ProbReco_0.1.0.1.tgz |
| Old sources: | ProbReco archive |
Linking:
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