Automatic Dynamic Regression using Extreme Gradient Boosting
Overview
Dynamic regression for time series using Extreme Gradient Boosting with hyper-parameter tuning via Bayesian Optimization or Random Search.
What’s new:
- Fully aligned with the new XGBoost R API: deprecated watchlist removed, predictions use the standard predict(model, xgb.DMatrix) method, eliminating future-breaking warnings.
- Bayesian optimization redesigned to use a pure base-R surrogate approach, removing GPfit-related numerical failures while preserving the same function signature and outputs.
- Robust failure handling across optimization and modeling: failed models are safely ignored, edge cases handled explicitly, and searches always return valid results.
- Reduced dependency footprint, relying mainly on base R plus xgboost and imputeTS, simplifying installation and maintenance.
- Cleaner, more stable modeling core (engine, sequencer, hood) with safer cross-validation, early stopping, residual sampling, and base svd() for dimensionality reduction.
- Output and API backward compatibility preserved: existing code using audrex, random_search, or bayesian_search continues to work unchanged.
- Comprehensive test coverage added via testthat, validating all major paths (gbtree, gblinear, random search, Bayesian search, full audrex pipeline).
From NEWS.md in the release
Install
Health
- OK13 OK2026-09-08
- ERROR12 OK, 1 ERROR2026-09-07
- OK13 OK2026-08-05
- NOTE12 OK, 1 NOTE2026-08-01
- OK13 OK2026-06-09
Show 3 earlier changesHide 3 earlier changes
- ERROR12 OK, 1 ERROR2026-06-08
- OK12 OK2026-04-25
- ERROR11 OK, 3 ERROR2026-03-10
Documentation
- Help pages
- 4includes a package overview page
- Examples that run
- 0%1 only when donttest examples are enabled (R CMD check --as-cran)
- Exported functions with examples
- 100%
- Documented parameters
- 93%
- Return-value docs
- 100%
- Help pages citing references
- 0%
Downloads
Dependencies
Installing audrex adds 45 packages (28 with compiled code, 46 MB of source tarballs). Heaviest: stringi 11 MB, ggplot2 6.0 MB, data.table 5.7 MB.
Code & Tests
Datasets
People & History
Pick two releases to compare their code metrics.
- RR 4.6.0 released · 2026-04-24
- 3.0.0Latest
- RR 4.5.0 released · 2025-04-11
- RR 4.4.0 released · 2024-04-24
- RR 4.3.0 released · 2023-04-21
- RR 4.2.0 released · 2022-04-22
- 2.0.12022-03-23 · diff ↗
- 2.0.02022-03-21 · diff ↗
- 1.0.12021-08-18 · diff ↗
- RR 4.1.0 released · 2021-05-18
- 1.0.02021-04-28
- RR 4.0.0 released · 2020-04-24
Package metadata
- First published
- 2021-04-28
- Total releases
- 5 / 5 yrs
- License
- GPL-3 OSI
- Minimum R
- ≥ 4.1
- Bundled data
- 80 KB / 3 files
- Download size
- 102 KB
Cite
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