Sparse Multiple Index Models for Nonparametric Forecasting
Overview
Implements a general algorithm for estimating Sparse Multiple Index (SMI) models for nonparametric forecasting and prediction. Estimation of SMI models requires the Gurobi mixed integer programming (MIP) solver via the gurobi R package. To use this functionality, the Gurobi Optimizer must be installed, and a valid license obtained and activated from https://www.gurobi.com. The gurobi R package must then be installed and configured following the instructions at https://support.gurobi.com/hc/en-us/articles/14462206790033-How-do-I-install-Gurobi-for-R. The package also includes functions for fitting nonparametric additive models with backward elimination, group-wise additive index models, and projection pursuit regression models as benchmark comparison methods. In addition, it provides tools for generating prediction intervals to quantify uncertainty in point forecasts produced by the SMI model and benchmark models, using the classical block bootstrap and a new method called conformal bootstrap, which integrates block bootstrap with split conformal prediction.
- Minor fixes following CRAN feedback (conditional execution of examples and Description updates).
From NEWS.md in the release
Install
Health
- OK13 OK2026-08-04
- NOTE12 OK, 1 NOTE2026-08-01
- OK13 OK2026-06-09
- ERROR12 OK, 1 ERROR2026-06-08
- OK12 OK2026-04-25
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- ERROR8 OK, 1 NOTE, 1 ERROR2026-04-11
- NOTE5 OK, 1 NOTE2026-04-09
Documentation
- Help pages
- 67 (1 internal)includes a package overview page
- Examples that run
- 85%28 run in a plain check (7 of them under a condition) · 5 only when donttest examples are enabled (R CMD check --as-cran)
- Exported functions with examples
- 93%
- Documented parameters
- 100%
- Return-value docs
- 93%
- Help pages citing references
- 4%
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- PRs merged (all time)
- 100%
- Median days to close, 50 most recently updated closed issues
- 166
- Median days to close, 50 most recently updated closed PRs
- 0
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pkgdown site last built 2026-04-02, before release 0.1.3 (2026-04-08)
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Code & Tests
People & History
- RR 4.6.0 released · 2026-04-24
- 0.1.3Latest2026-04-08 · current release
- RR 4.5.0 released · 2025-04-11
Package metadata
- First published
- 2026-04-08
- Total releases
- 1 / 1 yrs
- License
- GPL (>= 3) OSI
- Minimum R
- ≥ 4.1.0
- Download size
- 245 KB
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