Sufficient Forecasting using Factor Models
Overview
The sufficient forecasting (SF) method is implemented by this package for a single time series forecasting using many predictors and a possibly nonlinear forecasting function. Assuming that the predictors are driven by some latent factors, the SF first conducts factor analysis and then performs sufficient dimension reduction on the estimated factors to derive predictive indices for forecasting. The package implements several dimension reduction approaches, including principal components (PC), sliced inverse regression (SIR), and directional regression (DR). Methods for dimension reduction are as described in: Fan, J., Xue, L. and Yao, J. (2017) doi:10.1016/j.jeconom.2017.08.009, Luo, W., Xue, L., Yao, J. and Yu, X. (2022) doi:10.1093/biomet/asab037 and Yu, X., Yao, J. and Xue, L. (2022) doi:10.1080/07350015.2020.1813589.
- Added a
NEWS.mdfile to track changes to the package.
From NEWS.md in the release
Install
Health
- OK13 OK2026-10-25
- ERROR12 OK, 1 ERROR2026-10-24
- OK13 OK2026-08-04
- NOTE12 OK, 1 NOTE2026-08-01
- OK14 OK2026-03-10
Documentation
- Help pages
- 8 (1 internal)includes a package overview page
- Examples that run
- 100%5 run in a plain check
- Exported functions with examples
- 83%
- Documented parameters
- 100%
- Return-value docs
- 100%
- Help pages citing references
- 63%
- SF_vignette HTML
Downloads
Repository
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Checks run against github.com/jingfu1224/sufficientforecasting on 2026-10-21.
Dependencies
Installing sufficientForecasting adds 3 packages (1 with compiled code, 579 KB of source tarballs). Heaviest: iterators 293 KB, gam 198 KB, foreach 88 KB.
Code & Tests
Datasets
People & History
- RR 4.6.0 released · 2026-04-24
- RR 4.5.0 released · 2025-04-11
- RR 4.4.0 released · 2024-04-24
- RR 4.3.0 released · 2023-04-21
- 0.1.0Latest2023-02-17 · current release
- RR 4.2.0 released · 2022-04-22
Package metadata
- First published
- 2023-02-17
- Total releases
- 1 / 3 yrs
- License
- GPL (>= 3) OSI
- Minimum R
- ≥ 2.10
- Bundled data
- 78 KB / 1 file
- Download size
- 97 KB
Cite
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