Package index • FoCo2

Optimal forecast combination

csocc(): Cross-sectional optimal coherent forecast combination
csmtc(): Cross-sectional optimal multi-task forecast combination

Sequential coherent forecast combination

csscr(): Cross-sectional sequential combination-reconciliation
cssrc(): Cross-sectional sequential reconciliation-combination

Utilities

cscov(<shrbe>) cscov(<sambe>) cscov(<shrbv>) cscov(<sambv>): Cross-sectional covariance matrix approximation
occmat(): Matrices for the optimal coherent forecast combination

Package

FoCo2 FoCo2-package: FoCo2: Coherent Forecast Combination for Linearly Constrained Multiple Time Series