R packages for forecast combinations

September 1, 2016

(This article was first published on R on Rob J Hyndman, and kindly contributed to R-bloggers)

It has been well-known since at least 1969, when Bates and Granger wrote their famous paper on “The Combination of Forecasts”, that combining forecasts often leads to better forecast accuracy.
So it is helpful to have a couple of new R packages which do just that: opera and forecastHybrid.
opera Opera stands for “Online Prediction by ExpeRt Aggregation”. It was written by Pierre Gaillard and Yannig Goude, and Pierre provides a nice introduction in the vignette.

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