flap: Forecast Linear Augmented Projection
The Forecast Linear Augmented Projection (flap) method reduces
forecast variance by adjusting the forecasts of multivariate time series to
be consistent with the forecasts of linear combinations (components) of the
series by projecting all forecasts onto the space where the linear
constraints are satisfied. The forecast variance can be reduced
monotonically by including more components. For a given number of
components, the flap method achieves maximum forecast variance reduction
among linear projections.
Documentation:
Downloads:
Linking:
Please use the canonical form
https://CRAN.R-project.org/package=flap
to link to this page.