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tylerjpike
OOS:Out-of-Sample Time Series Forecasting
A comprehensive and cohesive API for the out-of-sample forecasting workflow: data preparation, forecasting - including both traditional econometric time series models and modern machine learning techniques - forecast combination, model and error analysis, and forecast visualization.
Maintained by Tyler J. Pike. Last updated 4 years ago.
econometricsforecast-combinationforecastingmachine-learning
54.6 match 9 stars 4.95 score 5 scripts
lehmasve
hdflex:High-Dimensional Aggregate Density Forecasts
Provides a forecasting method that efficiently maps vast numbers of (scalar-valued) signals into an aggregate density forecast in a time-varying and computationally fast manner. The method proceeds in two steps: First, it transforms a predictive signal into a density forecast and, second, it combines the resulting candidate density forecasts into an ultimate aggregate density forecast. For a detailed explanation of the method, please refer to Adaemmer et al. (2023) <doi:10.2139/ssrn.4342487>.
Maintained by Sven Lehmann. Last updated 4 months ago.
ensemble-learningforecast-combinationforecastinghigh-dimensionalitytime-seriesopenblascppopenmp
38.4 match 3 stars 3.78 score 1 scripts