smimodel: Sparse Multiple Index Models for Nonparametric Forecasting
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.
| Version: |
0.1.3 |
| Depends: |
R (≥ 4.1.0) |
| Imports: |
cgaim, conformalForecast, dplyr, furrr, future, generics, ggplot2, gratia, gtools, Matrix, methods, mgcv, purrr, ROI, tibble, tidyselect, tidyr, tsibble, utils |
| Suggests: |
gurobi, knitr, lubridate, rmarkdown, testthat (≥ 3.0.0) |
| Published: |
2026-04-08 |
| DOI: |
10.32614/CRAN.package.smimodel (may not be active yet) |
| Author: |
Nuwani Palihawadana
 [aut, cre,
cph],
Xiaoqian Wang
[ctb] |
| Maintainer: |
Nuwani Palihawadana <nuwanipalihawadana at gmail.com> |
| BugReports: |
https://github.com/nuwani-palihawadana/smimodel/issues |
| License: |
GPL (≥ 3) |
| URL: |
https://github.com/nuwani-palihawadana/smimodel,
https://nuwani-palihawadana.github.io/smimodel/ |
| NeedsCompilation: |
no |
| Materials: |
README, NEWS |
| CRAN checks: |
smimodel results |
Documentation:
Downloads:
Linking:
Please use the canonical form
https://CRAN.R-project.org/package=smimodel
to link to this page.