Time Series Forecasting with KNN in R: The tsfknn Package

Authors

Francisco Martínez, University of Jaén
María P. Frías, University of Jaén
Francisco Charte, University of Jaén
Antonio J. Rivera, University of Jaén

Date of this Version

12-2019

Document Type

Article

Citation

The R Journal (December 2019) 11(2); Editor: Michael J. Kane

Comments

Copyright 2019, The R Foundation. Open access material. License: CC BY 4.0 International

Abstract

In this paper the tsfknn package for time series forecasting using k-nearest neighbor regression is described. This package allows users to specify a KNN model and to generate its forecasts. The user can choose among different multi-step ahead strategies and among different functions to aggregate the targets of the nearest neighbors. It is also possible to assess the forecast accuracy of the KNN model.