EEML (version 0.1.1)

ModelSel: Selection of Superior Models Using MSC Algorithm

Description

Selection of Superior Models Using MSC Algorithm

Usage

ModelSel(df, Alpha, K)

Value

• SelModel: Name of the selected models

Arguments

df

Dataframe of predicted values of models with first column as actual values

Alpha

Confidence level of MCS tests

K

Resampling length

References

• Paul, R.K., Das, T. and Yeasin, M., 2023. Ensemble of time series and machine learning model for forecasting volatility in agricultural prices. National Academy Science Letters, 46(3), pp.185-188.

• Yeasin, M. and Paul, R.K., 2024. OptiSembleForecasting: optimization-based ensemble forecasting using MCS algorithm and PCA-based error index. The Journal of Supercomputing, 80(2), pp.1568-1597.

• Hansen PR, Lunde A, Nason JM, 2011. The model confidence set. Econometrica, 79(2), 453-497

Examples

library("EEML")
Actual<- as.ts(rnorm(200,100,50))
Model1<- as.ts(rnorm(200,100,50))
Model2<- as.ts(rnorm(200,100,50))
Model3<- as.ts(rnorm(200,100,50))
Model4<- as.ts(rnorm(200,100,50))
Model5<- as.ts(rnorm(200,100,50))
DF <- cbind(Actual, Model1,Model2,Model3,Model4,Model5)
SelModel<-ModelSel(df=DF, Alpha=0.2, K=1000)