tebu function

Temporal bottom-up reconciliation

Temporal bottom-up reconciled forecasts at any temporal aggregation level are computed by appropriate aggregation of the high-frequency base forecasts, $\widehat{\mathbf{x}}^{[1]}$: [REMOVE_ME]$\widetilde{\mathbf{x}} = \mathbf{S}_{te}\widehat{\mathbf{x}}^{[1]}, [REMOVE_ME_2]$

where $\mathbf{S}_{te}$ is the temporal structural matrix.

tebu(base, agg_order, tew = "sum", sntz = FALSE)

Arguments

• base: A ($hm \times 1$) numeric vector containing the high-frequency base forecasts; $m$ is the max. temporal aggregation order, and $h$ is the forecast horizon for the lowest frequency time series.
• agg_order: Highest available sampling frequency per seasonal cycle (max. order of temporal aggregation, $m$), or a vector representing a subset of $p$ factors of $m$.
• tew: A string specifying the type of temporal aggregation. Options include: "sum" (simple summation, default), "avg" (average), "first" (first value of the period), and "last" (last value of the period).
• sntz: If TRUE, the negative base forecasts are set to zero before applying bottom-up.

Returns

A ($h(k^\ast+m) \times 1$) numeric vector of temporal reconciled forecasts.

Description

Temporal bottom-up reconciled forecasts at any temporal aggregation level are computed by appropriate aggregation of the high-frequency base forecasts, $\widehat{\mathbf{x}}^{[1]}$:

where $\mathbf{S}_{te}$ is the temporal structural matrix.

Examples

set.seed(123)
# (4 x 1) high frequency base forecasts vector (simulated),
# agg_order = 4 (annual-quarterly)
hfts <- rnorm(4, 5)

reco <- tebu(base = hfts, agg_order = 4)

# Non negative reconciliation
hfts[4] <- -hfts[4] # Making negative one of the quarterly base forecasts
nnreco <- tebu(base = hfts, agg_order = 4, sntz = TRUE)

See Also

Bottom-up reconciliation: csbu(), ctbu()

Temporal framework: teboot(), tecov(), telcc(), temo(), terec(), tetd(), tetools()