hts (version 4.4)

hts: Create a hierarchical time series

Description

Method for creating hierarchical time series.

Usage

hts(y, nodes, bnames = colnames(y), characters)

Arguments

y

A matrix or multivariate time series contain the bottom level series.

nodes

A list contains the number of child nodes associated with each level, which indicates the hierarchical structure. The default is a simple hierarchy with only 2 levels (i.e. total and bottom). If the argument characters is used, no

bnames

The names of the bottom time series.

characters

Integers indicate the segments in which the bottom level names can be read in order to construct the corresponding node structure and its labels. For instance, suppose one of the bottom series is named "VICMelb" referring to the city of Melbourne w

Value

• bts
  Multivariate time series containing the bottom level series
• nodes
  Information about the nodes of a hierarchical time series
• labels
  Information about the labels that are used for plotting.

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

gts, accuracy.gts, forecast.gts, plot.gts

Examples

# Example 1
# The hierarchical structure looks like 2 child nodes associated with level 1,
# which are followed by 3 and 2 sub-child nodes respectively at level 2.
nodes <- list(2, c(3, 2))
abc <- ts(5 + matrix(sort(rnorm(500)), ncol = 5, nrow = 100))
x <- hts(abc, nodes)

# Example 2
# Suppose we've got the bottom names that can be useful for constructing the node
# structure and the labels at higher levels. We need to specify how to split them 
# in the argument "characters".
abc <- ts(5 + matrix(sort(rnorm(1000)), ncol = 10, nrow = 100))
colnames(abc) <- c("A10A", "A10B", "A10C", "A20A", "A20B",
                   "B30A", "B30B", "B40A", "B40B", "B40C")
y <- hts(abc, characters = c(1, 2, 1))