TSPred: A framework for nonstationary time series prediction

The nonstationary time series prediction is challenging since it demands knowledge of both data transformation and prediction methods. This paper presents TSPred, a framework for nonstationary time series prediction. It differs from the mainstream frameworks since it establishes a prediction process that seamlessly integrates nonstationary time series transformations with state-of-the-art statistical and machine learning methods. It is made available as an R-package, which provides functions for defining and conducting time series prediction, including data pre(post) processing, decomposition, modeling, prediction, and accuracy assessment. Besides, TSPred enables user-defined methods, which significantly expands the applicability of the framework.