Published on June 16, 2016 by Microsoft

We present an R package for prediction of time series based on online robust aggregation of a finite set of forecasts (machine learning method, statistical model, physical model, human expertise, …). More formally, we consider a sequence of observations y(1), …, y(t), to be predicted element by element. At each time instance t, a finite set of experts provide prediction x(k,t) of the next observation y(t). Several methods are implemented to combine these expert forecasts according to their past performance (several loss functions are implemented to measure it). These combining methods satisfy robust finite time theoretical performance guarantees. We demonstrate on different examples from energy markets (electricity demand, electricity prices, solar and wind power time series) the interest of this approach both in terms of forecasting performance and time series analysis.

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