Convenient Functions for Ensemble Time Series Forecasts

Convenient functions for ensemble forecasts in R combining approaches from the 'forecast' package. Forecasts generated from auto.arima(), ets(), thetaf(), nnetar(), stlm(), tbats(), snaive() and arfima() can be combined with equal weights, weights based on in-sample errors (introduced by Bates & Granger (1969) ), or cross-validated weights. Cross validation for time series data with user-supplied models and forecasting functions is also supported to evaluate model accuracy.