profoc - Probabilistic Forecast Combination Using CRPS Learning

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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openblascppopenmp

5.40 score 14 stars 12 scripts 358 downloads

rcpptimer - 'Rcpp' Tic-Toc Timer with 'OpenMP' Support

Provides 'Rcpp' bindings for 'cpptimer', a simple tic-toc timer class for benchmarking 'C++' code <https://github.com/BerriJ/cpptimer>. It's not just simple, it's blazing fast! This sleek tic-toc timer class supports overlapping timers as well as 'OpenMP' parallelism <https://www.openmp.org/>. It boasts a nanosecond-level time resolution. We did not find any overhead of the timer itself at this resolution. Results (with summary statistics) are automatically passed back to 'R' as a data frame.

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benchmarkingcpprcppcppopenmp

4.88 score 1 stars 1 dependents 1 scripts 225 downloads

dccpp - Fast Computation of Distance Correlations

Fast computation of the distance covariance 'dcov' and distance correlation 'dcor'. The computation cost is only O(n log(n)) for the distance correlation (see Chaudhuri, Hu (2019) <arXiv:1810.11332> <doi:10.1016/j.csda.2019.01.016>). The functions are written entirely in C++ to speed up the computation.

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statisticsopenblascppopenmp

3.65 score 9 stars 1 scripts 240 downloads

UnitCircle - Check if Roots of a Polynomial Lie Outside the Unit Circle

The uc.check() function checks whether the roots of a given polynomial lie outside the Unit circle. You can also easily draw an unit circle.

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2.90 score 1 stars 16 scripts 161 downloads