tsfknn

swMATH40929CRANtsfknnMaRDI QIDQ1354381

Time Series Forecasting Using Nearest Neighbors

Francisco Martinez

Last update: 20 December 2023

Copyright license: GNU General Public License, version 2.0

Software version identifier: 0.5.1, 0.1.0, 0.2.0, 0.3.0, 0.4.0, 0.5.0, 0.5.2, 0.6.0

Source code repository: https://github.com/cran/tsfknn

Description

Allows forecasting time series using nearest neighbors regression Francisco Martinez, Maria P. Frias, Maria D. Perez-Godoy and Antonio J. Rivera (2019) <doi:10.1007/s10462-017-9593-z>. When the forecasting horizon is higher than 1, two multi-step ahead forecasting strategies can be used. The model built is autoregressive, that is, it is only based on the observations of the time series. The nearest neighbors used in a prediction can be consulted and plotted.

Cites work

• A methodology for applying k-nearest neighbor to time series forecasting