Forecasting Using Multivariate Models

Functions implementing multivariate state space models for purposes of time series analysis and forecasting. The focus of the package is on multivariate models, such as Vector Exponential Smoothing, Vector ETS (Error-Trend-Seasonal model) etc. It currently includes Vector Exponential Smoothing (VES, de Silva et al., 2010, ), Vector ETS and simulation function for VES.


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install.packages("legion")

0.1.0 by Ivan Svetunkov, 4 months ago


https://github.com/config-i1/legion


Report a bug at https://github.com/config-i1/legion/issues


Browse source code at https://github.com/cran/legion


Authors: Ivan Svetunkov [aut, cre] (Lecturer at Centre for Marketing Analytics and Forecasting , Lancaster University , UK) , Kandrika Fadhlan Pritularga [aut] (PhD Student at Centre for Marketing Analytics and Forecasting , Lancaster University , UK)


Documentation:   PDF Manual  


Task views: Time Series Analysis


GPL (>= 2) license


Imports Rcpp, stats, graphics, grDevices, pracma, statmod, nloptr, utils, zoo

Depends on greybox, smooth

Suggests Mcomp, numDeriv, testthat, knitr, rmarkdown, doMC, doParallel, foreach

Linking to Rcpp, RcppArmadillo


See at CRAN