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wired  

Weighted Adaptive Prediction with Structured Dependence
View on CRAN: Click here


Download and install wired package within the R console
Install from CRAN:
install.packages("wired")

Install from Github:
library("remotes")
install_github("cran/wired")

Install by package version:
library("remotes")
install_version("wired", "1.0.1")



Attach the package and use:
library("wired")
Maintained by
Giancarlo Vercellino
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2026-02-06
Latest Update: 2026-02-06
Description:
Builds a joint probabilistic forecast across series and horizons using adaptive copulas (Gaussian/t) with shrinkage-repaired correlations. At the low level it calls a probabilistic mixer per series and horizon, which backtests several simple predictors, predicts next-window Continuous Ranked Probability Score (CRPS), and converts those scores into softmax weights to form a calibrated mixture (r/q/p/dfun). The mixer blends eight simple predictors: a naive predictor that wraps the last move in a PERT distribution; an arima predictor using auto.arima for one-step forecasts; an Exponentially Weighted Moving Average (EWMA) gaussian predictor with mean/variance under a Gaussian; a historical bootstrap predictor that resamples past horizon-aligned moves; a drift residual bootstrap predictor combining linear trend with bootstrapped residuals; a volatility-scaled naive predictor centering on the last move and scaling by recent volatility; a robust median mad predictor using median/MAD with Laplace or Normal shape; and a shrunk quantile predictor that fits a few quantile regressions over time and interpolates to a full predictive. The function then couples the per-series mixtures on a common transform (additive/multiplicative/log-multiplicative), simulates coherent draws, and returns both transformed- and level-scale samplers and summaries.
How to cite:
Giancarlo Vercellino (2026). wired: Weighted Adaptive Prediction with Structured Dependence. R package version 1.0.1, https://cran.r-project.org/web/packages/wired. Accessed 24 Oct. 2026.
Previous versions and publish date:
(2026-07-09 07:00), 1.0.0 (2026-02-06 15:20)
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Complete documentation for wired
Functions, R codes and Examples using the wired R package
Full wired package functions and examples
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