legion

Forecasting Using Multivariate Models

CRAN Package

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, doi:10.1177/1471082X0901000401), Vector ETS (Svetunkov et al., 2023, doi:10.1016/j.ejor.2022.04.040) and simulation function for VES.

  • Version0.2.1
  • R versionR (≥ 3.5.0)
  • LicenseLGPL-2.1
  • Needs compilation?Yes
  • Languageen-GB
  • Last release02/03/2025

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Dependencies

  • Depends2 packages
  • Imports5 packages
  • Suggests7 packages
  • Linking To2 packages
  • Reverse Suggests1 package