multi-gam (mgam) model with copula dependence for predictions and opt…

…ional pooling

added a multi-GAM model (mgam) with optional pooling argument and
custom predict function to include copula based dependency in the
predictive distribution. The input for this type of model is a data.table with
series and index identifiers.

Changelog

@@ -1,3 +1,10 @@
+# 2023-04-20 v0.3.0 [AG]
+- Added more flexible options in the predict function such as passing custom
+innovations.
+- Added a multi-GAM model (mgam) with optional pooling arguments and
+custom predict function to include copula based dependency in the
+predictive distribution.
+
 # 2022-10-02 v0.1.0 [AG]
 - First upload of package.
 

DESCRIPTION

@@ -8,7 +8,7 @@ Maintainer: alexios galanos <[email protected]>
 Description: Wrappers for GAM models in the mgcv package.
 License: GPL-2 | file LICENSE
 Depends: R (>= 3.5.0), tsmethods
-Imports: methods, tsaux, tsdistributions, zoo, xts, data.table, mgcv, gratia, future, future.apply, progressr
+Imports: methods, tsaux, tsdistributions, zoo, xts, data.table, mgcv, copula, gratia, future, future.apply, progressr, rlang, fasttime
 Encoding: UTF-8
 LazyData: true
 RoxygenNote: 7.2.3

NAMESPACE

@@ -1,36 +1,55 @@
 # Generated by roxygen2: do not edit by hand
 
 S3method(estimate,gam.spec)
+S3method(estimate,mgam.spec)
 S3method(fitted,gam.estimate)
+S3method(fitted,mgam.estimate)
 S3method(predict,gam.estimate)
+S3method(predict,mgam.estimate)
 S3method(residuals,gam.estimate)
+S3method(residuals,mgam.estimate)
+S3method(sigma,mgam.estimate)
 S3method(summary,gam.estimate)
 S3method(tsbacktest,gam.trainspec)
+S3method(tsconvert,mgam.estimate)
 S3method(tsdecompose,gam.estimate)
 S3method(tsdecompose,gam.predict)
 S3method(tsmetrics,gam.estimate)
 S3method(tsmetrics,gam.predict)
 export(gam_modelspec)
 export(gam_trainspec)
+export(mgam_modelspec)
 import(data.table)
 import(methods)
 import(mgcv)
 import(tsmethods)
+importFrom(copula,P2p)
+importFrom(copula,fitCopula)
+importFrom(copula,normalCopula)
+importFrom(copula,pobs)
+importFrom(copula,rCopula)
+importFrom(copula,tCopula)
+importFrom(fasttime,fastDate)
+importFrom(fasttime,fastPOSIXct)
 importFrom(future,"%<-%")
 importFrom(future.apply,future_lapply)
 importFrom(gratia,predicted_samples)
 importFrom(progressr,handlers)
 importFrom(progressr,progressor)
+importFrom(rlang,f_lhs)
+importFrom(rlang,f_rhs)
 importFrom(stats,AIC)
 importFrom(stats,as.formula)
 importFrom(stats,coef)
+importFrom(stats,cor)
 importFrom(stats,fitted)
 importFrom(stats,gaussian)
 importFrom(stats,na.omit)
 importFrom(stats,predict)
 importFrom(stats,quantile)
 importFrom(stats,residuals)
 importFrom(stats,sd)
+importFrom(stats,sigma)
 importFrom(tsaux,bias)
 importFrom(tsaux,crps)
 importFrom(tsaux,mape)