Weighted Adaptive Prediction with Structured Dependence

Builds a joint probabilistic forecast across series and horizons using adaptive copulas (Gaussian/t) with shrinkage-repaired correlations. At the low level it calls a probabilistic mixer per series and horizon, which backtests several simple predictors, predicts next-window Continuous Ranked Probability Score (CRPS), and converts those scores into softmax weights to form a calibrated mixture (r/q/p/dfun). The mixer blends eight simple predictors: a naive predictor that wraps the last move in a PERT distribution; an arima predictor using auto.arima for one-step forecasts; an Exponentially Weighted Moving Average (EWMA) gaussian predictor with mean/variance under a Gaussian; a historical bootstrap predictor that resamples past horizon-aligned moves; a drift residual bootstrap predictor combining linear trend with bootstrapped residuals; a volatility-scaled naive predictor centering on the last move and scaling by recent volatility; a robust median mad predictor using median/MAD with Laplace or Normal shape; and a shrunk quantile predictor that fits a few quantile regressions over time and interpolates to a full predictive. The function then couples the per-series mixtures on a common transform (additive/multiplicative/log-multiplicative), simulates coherent draws, and returns both transformed- and level-scale samplers and summaries.


Reference manual

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install.packages("wired")

1.0.1 by Giancarlo Vercellino, 6 months ago


https://rpubs.com/giancarlo_vercellino/wired


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


Authors: Giancarlo Vercellino [aut, cre, cph]


Documentation:   PDF Manual  


GPL-3 license


Imports mc2d, forecast, quantreg, MASS, imputeTS

Suggests knitr, testthat


See at CRAN