flap: Forecast Linear Augmented Projection

The Forecast Linear Augmented Projection (flap) method reduces forecast variance by adjusting the forecasts of multivariate time series to be consistent with the forecasts of linear combinations (components) of the series by projecting all forecasts onto the space where the linear constraints are satisfied. The forecast variance can be reduced monotonically by including more components. For a given number of components, the flap method achieves maximum forecast variance reduction among linear projections.

Version: 0.1.0
Imports: corpcor, utils
Suggests: forecast, stats
Published: 2024-02-28
Author: Yangzhuoran Fin Yang ORCID iD [aut, cre]
Maintainer: Yangzhuoran Fin Yang <yangyangzhuoran at gmail.com>
BugReports: https://github.com/FinYang/flap/issues/
License: GPL (≥ 3)
URL: https://github.com/FinYang/flap
NeedsCompilation: no
Materials: README NEWS
In views: TimeSeries
CRAN checks: flap results

Documentation:

Reference manual: flap.pdf

Downloads:

Package source: flap_0.1.0.tar.gz
Windows binaries: r-prerel: flap_0.1.0.zip, r-release: flap_0.1.0.zip, r-oldrel: flap_0.1.0.zip
macOS binaries: r-prerel (arm64): flap_0.1.0.tgz, r-release (arm64): flap_0.1.0.tgz, r-oldrel (arm64): flap_0.1.0.tgz, r-prerel (x86_64): flap_0.1.0.tgz, r-release (x86_64): flap_0.1.0.tgz

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