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ForeCA: Forecastable Component Analysis in R

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# ForeCA R package

[![R-CMD-check](https://github.com/gmgeorg/ForeCA/actions/workflows/R-CMD-check.yaml/badge.svg)](https://github.com/gmgeorg/ForeCA/actions/workflows/R-CMD-check.yaml)
[![CRAN release](https://www.r-pkg.org/badges/version/ForeCA)](https://cran.r-project.org/package=ForeCA)
[![CRAN downloads](https://cranlogs.r-pkg.org/badges/ForeCA)](https://cran.r-project.org/package=ForeCA)

**ForeCA** implements *Forecastable component analysis* in R.  For details on
algorithm & methodology see [*Forecastable Component Analysis*, JMLR, Goerg
(2013)](https://proceedings.mlr.press/v28/goerg13.pdf).

**In a nutshell:** *ForeCA* finds linear combinations of multivariate time
series that are most forecastable, where forecastability is measured by the
spectral entropy of the resulting signal (linear combination of input).

## Installation

You can install the stable version from
[CRAN](https://cran.r-project.org/package=ForeCA):

```r
install.packages('ForeCA')
```

Alternatively, you can also install the latest version of **ForeCA** package
directly from github as
```{r}
library(devtools)
devtools::install_github("gmgeorg/ForeCA")
```

## Usage

The workhorse function is `ForeCA::foreca()` which works just like the built-in
`princomp` function for PCA.

```{r}
library(ForeCA)
citation("ForeCA")
```

For a tutorial on how to use `foreca()` and the entire **ForeCA** suite of
functions see the [introductory
vignette](https://CRAN.R-project.org/package=ForeCA/vignettes/Introduction.html)
on CRAN.

## References

* **ForeCA references & applications in the literature** (non-exhaustive; see here for [full list of ForeCA citations](https://scholar.google.com/scholar?client=ubuntu&channel=fs&oe=utf-8&um=1&ie=UTF-8&lr&cites=5674198772479433271))

* Very interesting application of ForeCA to historical time series data of
    temperature/climate to extract predictable climate signals. [Fischer, Matt.
    (2016). *Predictable components in global speleothem δ18O*. Quaternary
    Science Reviews. 131. 380-392.
    10.1016/j.quascirev.2015.03.024.](https://www.researchgate.net/publication/275953571_Predictable_components_in_global_speleothem_d18O)
  * ForeCA's forecastability measure, spectral entropy of a time series, can be
    useful as a feature to characterize/visualize/predict performance of
    different algorithms applied to a set of time series. [Kang, Yanfei &
    Hyndman, Rob & Smith-Miles, Kate. (2017). *Visualising forecasting algorithm
    performance using time series instance spaces*. International Journal of
    Forecasting. 33. 345-358.
    10.1016/j.ijforecast.2016.09.004.](https://isidl.com/wp-content/uploads/2017/06/E3999-ISIDL.pdf)

* **Cross-validated & SO posts** (non-exhaustive)

* [How to determine forecastability of time
      series](https://stats.stackexchange.com/questions/126829/how-to-determine-forecastability-of-time-series)

* **Blog posts** (by others)

* [Stock Forecasting with Machine Learning - Are Stock Prices
     Predictable?](http://www.anlytcs.com/2016/04/stock-forecasting-with-machine-learning.html)
     (2016/04/20)
   * [Are stocks predictable?](http://fastml.com/are-stocks-predictable/)
     (2014/02/20)

ForeCA

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