profoc
Probabilistic Forecast Combination Using CRPS Learning
Description
Combine probabilistic forecasts using CRPS learning algorithms proposed in Berrisch, Ziel (2021) <doi:10.48550/arXiv.2102.00968> <doi:10.1016/j.jeconom.2021.11.008>. The package implements multiple online learning algorithms like Bernstein online aggregation; see Wintenberger (2014) <doi:10.48550/arXiv.1404.1356>. Quantile regression is also implemented for comparison purposes. Model parameters can be tuned automatically with respect to the loss of the forecast combination. Methods like predict(), update(), plot() and print() are available for convenience. This package utilizes the optim C++ library for numeric optimization <https://github.com/kthohr/optim>.
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CRAN Check Status
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| Flavor | Status |
|---|---|
| r-devel-linux-x86_64-debian-clang | OK |
| r-devel-linux-x86_64-debian-gcc | OK |
| r-devel-linux-x86_64-fedora-clang | OK |
| r-devel-linux-x86_64-fedora-gcc | OK |
| r-devel-macos-arm64 | OK |
| r-devel-windows-x86_64 | OK |
| r-oldrel-macos-arm64 | NOTE |
| r-oldrel-macos-x86_64 | NOTE |
| r-oldrel-windows-x86_64 | OK |
| r-patched-linux-x86_64 | OK |
| r-release-linux-x86_64 | OK |
| r-release-macos-arm64 | OK |
| r-release-macos-x86_64 | OK |
| r-release-windows-x86_64 | OK |
Check details (14 non-OK)
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installed package size
installed size is 15.0Mb
sub-directories of 1Mb or more:
doc 1.4Mb
libs 12.8Mb
installed package size
installed size is 15.5Mb
sub-directories of 1Mb or more:
doc 1.4Mb
libs 13.4Mb
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Check History
NOTE 12 OK · 2 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 9, 2026
installed package size
installed size is 15.0Mb
sub-directories of 1Mb or more:
doc 1.4Mb
libs 12.8Mb
installed package size
installed size is 15.5Mb
sub-directories of 1Mb or more:
doc 1.4Mb
libs 13.4Mb