Time Series Forecasting Using Nearest Neighbors

Allows forecasting time series using nearest neighbors regression Francisco Martinez, Maria P. Frias, Maria D. Perez-Godoy and Antonio J. Rivera (2019) . When the forecasting horizon is higher than 1, two multi-step ahead forecasting strategies can be used. The model built is univariate and autoregressive, that is, it is only based on the observations of the time series. The nearest neighbors used in a prediction can be consulted and plotted.

tsfknn

The goal of tsfknn is to forecast time series using KNN regression

Installation

You can install tsfknn from github with:

# install.packages("devtools")
devtools::install_github("franciscomartinezdelrio/tsfknn")

Example

This is a basic example which shows you how to forecast with tsfknn:

library(tsfknn)
pred <- knn_forecasting(USAccDeaths, h = 12, k = 3)
pred$prediction # To see a time series with the forecasts
plot(pred) # To see a plot with the forecast
library(ggplot2)
autoplot(pred, highlight = "neighbors")  # To see the nearest neighbors