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>.
Last updated 4 months ago
openblascppopenmp
5.91 score 14 stars 13 scripts 391 downloadsrcpptimer - '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.
Last updated 4 months ago
benchmarkingcpprcppcppopenmp
5.57 score 1 dependents 1 scripts 262 downloadsdccpp - 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.
Last updated 1 years ago
statisticsopenblascppopenmp
3.54 score 7 stars 1 scripts 187 downloadsUnitCircle - 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.
Last updated 7 years ago
2.81 score 13 scripts 123 downloads