hts (version 3.03)

hts: Create a hierarchical or grouped time series

Description

Method for creating hierarchical or grouped time series. For a grouped time series, there is no need for a hierarchical structure.

Usage

hts(y, g)
gts(y, g, hierarchical=FALSE)

Arguments

y

Multivariate time series containing the bottom level series

g

Group matrix indicating the group structure, with one column for each series when completely disaggregated, and one row for each grouping of the time series.

hierarchical

Indicates if the grouping matrix should be treated as hierarchical.

Value

• y
  Multivariate time series containing the bottom level series
• g
  Information about the groups of a grouped time series
• m
  Number of groups within each grouping
• gma
  Top level series equal to the rowsums of y

Details

hts is simply a wrapper for gts(y,g,TRUE).

References

R. J. Hyndman, R. A. Ahmed, G. Athanasopoulos and H.L. Shang (2011) Optimal combination forecasts for hierarchical time series. Computational Statistics and Data Analysis, 55(9), 2579--2589. http://robjhyndman.com/papers/hierarchical/

See Also

accuracy.gts, forecast.gts, plot.gts

Examples

abc <- ts(5 + matrix(sort(rnorm(200)), ncol = 4, nrow = 100))
x <- hts(abc, c(1,1,2,2))
y <- gts(abc, rbind(c(1,1,2,2), c(1,2,1,2)))