Package: wired
Type: Package
Title: Weighted Adaptive Prediction with Structured Dependence
Version: 1.0.1
Authors@R: c(person("Giancarlo", "Vercellino", role = c("aut", "cre", "cph"), email = "giancarlo.vercellino@gmail.com"))
Maintainer: Giancarlo Vercellino <giancarlo.vercellino@gmail.com>
Description: Builds a joint probabilistic forecast across series and horizons using adaptive copulas (Gaussian/t) with shrinkage-repaired correlations. At the low level it calls a probabilistic mixer per series and horizon, which backtests several simple predictors, predicts next-window Continuous Ranked Probability Score (CRPS), and converts those scores into softmax weights to form a calibrated mixture (r/q/p/dfun). The mixer blends eight simple predictors: a naive predictor that wraps the last move in a PERT distribution; an arima predictor using auto.arima for one-step forecasts; an Exponentially Weighted Moving Average (EWMA) gaussian predictor with mean/variance under a Gaussian; a historical bootstrap predictor that resamples past horizon-aligned moves; a drift residual bootstrap predictor combining linear trend with bootstrapped residuals; a volatility-scaled naive predictor centering on the last move and scaling by recent volatility; a robust median mad predictor using median/MAD with Laplace or Normal shape; and a shrunk quantile predictor that fits a few quantile regressions over time and interpolates to a full predictive. The function then couples the per-series mixtures on a common transform (additive/multiplicative/log-multiplicative), simulates coherent draws, and returns both transformed- and level-scale samplers and summaries.
License: GPL-3
RoxygenNote: 7.3.3
Imports: mc2d (>= 0.2.1), forecast (>= 8.24.0), quantreg (>= 6.1), MASS
        (>= 7.3-65), imputeTS (>= 3.4)
Encoding: UTF-8
URL: https://rpubs.com/giancarlo_vercellino/wired
Suggests: knitr, testthat (>= 3.0.0)
Config/testthat/edition: 3
Depends: R (>= 4.1.0)
NeedsCompilation: no
Packaged: 2026-04-13 05:57:01 UTC; gianc
Author: Giancarlo Vercellino [aut, cre, cph]
Repository: CRAN
Date/Publication: 2026-04-13 06:20:02 UTC
Built: R 4.5.2; ; 2026-04-15 05:24:14 UTC; unix
