xpect: Probabilistic Time Series Forecasting with XGBoost and ConformalInference
Implements a probabilistic approach to time series forecasting combining XGBoost regression with conformal inference methods. The package provides functionality for generating predictive distributions, evaluating uncertainty, and optimizing hyperparameters using Bayesian, coarse-to-fine, or random search strategies.
| Version: | 1.0 |
| Depends: | R (≥ 2.10) |
| Imports: | normalp (≥ 0.7.2),glogis (≥ 1.0-2),gld (≥ 2.6.6),edfun (≥ 0.2.0),purrr (≥ 1.0.1),ald (≥ 1.3.1),evd (≥ 2.3-6.1),GeneralizedHyperbolic (≥ 0.8-6),cubature (≥ 2.1.0),furrr (≥ 0.3.1),future (≥ 1.33.0),xgboost (≥ 1.7.5.1),rBayesianOptimization (≥ 1.2.0),lubridate (≥ 1.9.2),ggplot2 (≥ 3.5.1),scales (≥ 1.3.0) |
| Suggests: | testthat (≥ 3.0.0) |
| Published: | 2025-03-24 |
| DOI: | 10.32614/CRAN.package.xpect |
| Author: | Giancarlo Vercellino [aut, cre, cph] |
| Maintainer: | Giancarlo Vercellino <giancarlo.vercellino at gmail.com> |
| License: | GPL-3 |
| URL: | https://rpubs.com/giancarlo_vercellino/xpect |
| NeedsCompilation: | no |
| Materials: | NEWS |
| In views: | TimeSeries |
| CRAN checks: | xpect results |
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