An R package offering classical (bottom-up), optimal and heuristic combination forecast reconciliation procedures for cross-sectional, temporal, and cross-temporal linearly constrained time series.
The FoReco package is designed for point forecast reconciliation, a
post-forecasting process aimed to improve the quality of the base
forecasts for a system of linearly constrained (e.g. hierarchical/grouped) time series.
The main functions are:
htsrec():cross-sectional (contemporaneous) forecast reconciliation.
thfrec():forecast reconciliation for a single time series through temporal hierarchies.
tcsrec():heuristic first-temporal-then-cross-sectional cross-temporal forecast reconciliation.
cstrec():heuristic first-cross-sectional-then-temporal cross-temporal forecast reconciliation.
iterec():heuristic iterative cross-temporal forecast reconciliation.
octrec():optimal combination cross-temporal forecast reconciliation.
Di Fonzo, T., Girolimetto, D. (2020), Cross-Temporal Forecast Reconciliation: Optimal Combination Method and Heuristic Alternatives, Department of Statistical Sciences, University of Padua, arXiv:2006.08570.