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Added Forecast() S4 class.
Added is_forc() function.
Added oos_realized_forc() function.
Added oos_lag_forc() function.
Added oos_vintage_forc() function.
Added conditional_forc() function.
Added historical_mean_forc() function.
Added random_walk_forc() function.
Added autoreg_forc() function.
Added mse_weighted_forc() function.
Changed the name of the collect() function to
forc2df() to avoid namespace conflict with
dplyr::collect().
Altered mse() and rmse() methods so
that forecast accuracy can be calculated if there are NA
forecast or realized values.
Altered autoreg_forc() so that AR models are
properly computed using one to ar_lags number of lags and
h_ahead forecasts are computed iteratively.
Added mae(), mape(), and
R2() methods for evaluating forecast accuracy.
Altered estimation_end argument so that the origin
of the first forecast is always greater than or equal to the
estimation_end time.
Changed historical_mean_forc() to
historical_average_forc() and altered the function so that
forecasts can be calculated using either the historical mean or
historical median. Also altered the function so that forecasts can be
calculated if there are NA values in realized_vec.
Added return_betas argument to all applicable
functions. If set to TRUE, returns a data frame of the coefficients used
to create the forecast in each time period to the Global
Environment.
Created str method for Forecast
objects.
Added states_weighted_forc() function for computing
state weighted forecasts.
Changed name of mse_weighted_forc() to
performance_weighted_forc() to reflect that errors may be
either MSE or RMSE.
Added mae() and mape() as options for
the errors argument in states_weighted_forc()
and performance_weighted_forc().
Altered forc2df() so that if only one Forecast
object is converted to a data.frame the forecast column is named
“forecast”.
Added is_forc_general() function for evaluating
in-sample forecasts with any general model.
Added oos_realized_forc_general() function for
evaluating out-of-sample forecasts with any general model.
Added oos_vintage_forc_general() function for
evaluating out-of-sample forecasts conditioned on vintage forecasts with
any general model.
Added conditional_forc_general() function for
computing out-of-sample conditional forecasts with any general
model.
Added a number of functions for subsetting and extracting
information from Forecast objects:
subset_forcs(), subset_bytime(),
subset_identical().
Added a number of functions for transforming
Forecast objects: convert_bytime(),
transform_bytime(), convert_byh(),
transform_byh().
These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.