Forecast Reconciliation
Non-overlapping temporal aggregation of a time series
Commutation matrix
Cross-sectional joint block bootstrap
Aggregation matrix of a (possibly) unbalanced hierarchy in balanced fo...
Cross-sectional bottom-up reconciliation
Cross-sectional covariance matrix approximation
Level conditional coherent reconciliation for genuine hierarchical/gro...
Cross-sectional middle-out reconciliation
Projection matrix for optimal combination cross-sectional reconciliati...
Optimal combination cross-sectional reconciliation
Cross-sectional top-down reconciliation
Reconciled forecasts to matrix/vector
Heuristic cross-temporal reconciliation
Iterative cross-temporal reconciliation
Linear combination (aggregation) matrix for a general linearly constra...
Informations on the reconciliation process
One-step and multi-step residuals
Optimal combination cross-temporal reconciliation
Cross-temporal top-down reconciliation
Cross-temporal reconciliation tools
Cross-sectional aggregation matrix of a dataframe
FoReco: Forecast Reconciliation
Cross-sectional reconciliation tools
Cross-temporal joint block bootstrap
Cross-temporal bottom-up reconciliation
Cross-temporal covariance matrix approximation
Level conditional coherent reconciliation for cross-temporal hierarchi...
Cross-temporal middle-out reconciliation
Projection matrix for optimal combination cross-temporal reconciliatio...
Set bounds for bounded forecast reconciliation
Shrinkage of the covariance matrix
Shrinkage of the covariance matrix using the Oracle approximation
Temporal joint block bootstrap
Temporal bottom-up reconciliation
Temporal covariance matrix approximation
Level conditional coherent reconciliation for temporal hierarchies
Temporal middle-out reconciliation
Projection matrix for optimal combination temporal reconciliation
Optimal combination temporal reconciliation
Temporal top-down reconciliation
Temporal reconciliation tools
Aggregation matrix of a balanced hierarchy in (possibly) unbalanced fo...
Classical (bottom-up and top-down), optimal combination and heuristic point (Di Fonzo and Girolimetto, 2023 <doi:10.1016/j.ijforecast.2021.08.004>) and probabilistic (Girolimetto et al. 2024 <doi:10.1016/j.ijforecast.2023.10.003>) forecast reconciliation procedures for linearly constrained time series (e.g., hierarchical or grouped time series) in cross-sectional, temporal, or cross-temporal frameworks.
Useful links