Probabilistic Forecast Combination Using CRPS Learning.
The profoc Package
An R package for probabilistic forecast combination
The primary function online can be used to combine probabilistic forecasts using the CRPS learning algorithm introduced in Berrisch, Ziel (2021): Pre-Print, Publication. The function batch can be used in a similar way for batch optimization. Common methods like summary, print, plot, update, and predict are available.
Installation
Install from CRAN
You can install the latest stable release from CRAN using:
install.packages("profoc")
Install from GitHub
You can install the latest stable release from GitHub using:
# install.packages("remotes")
remotes::install_github("BerriJ/profoc")
You can install the latest development version from GitHub using:
# install.packages("remotes")
remotes::install_github("BerriJ/profoc@develop")
Documentation
You can find the documentation at profoc.berrisch.biz.
Contributions and Issues
Feel free to raise an issue if you find something not working properly.
You are very welcome to contribute to profoc. Please base your pull requests on the develop branch.