ModelSel {EEML} | R Documentation |
Selection of Superior Models Using MSC Algorithm
ModelSel(df, Alpha, K)
df |
Dataframe of predicted values of models with first column as actual values |
Alpha |
Confidence level of MCS tests |
K |
Resampling length |
SelModel: Name of the selected models
Paul, R.K., Das, T. and Yeasin, M., 2023. Ensemble of time series and machine learning model for forecasting volatility in agricultural prices. National Academy Science Letters, 46(3), pp.185-188.
Yeasin, M. and Paul, R.K., 2024. OptiSembleForecasting: optimization-based ensemble forecasting using MCS algorithm and PCA-based error index. The Journal of Supercomputing, 80(2), pp.1568-1597.
Hansen PR, Lunde A, Nason JM, 2011. The model confidence set. Econometrica, 79(2), 453-497
library("EEML")
Actual<- as.ts(rnorm(200,100,50))
Model1<- as.ts(rnorm(200,100,50))
Model2<- as.ts(rnorm(200,100,50))
Model3<- as.ts(rnorm(200,100,50))
Model4<- as.ts(rnorm(200,100,50))
Model5<- as.ts(rnorm(200,100,50))
DF <- cbind(Actual, Model1,Model2,Model3,Model4,Model5)
SelModel<-ModelSel(df=DF, Alpha=0.2, K=1000)