FoReco (version 0.2.6)

ctf_tools: Cross-temporal reconciliation tools

Description

Some useful tools for the cross-temporal forecast reconciliation of a linearly constrained (hierarchical/grouped) multiple time series.

Usage

ctf_tools(C, m, h = 1, Ut, nb, sparse = TRUE)

Value

ctf list with:

Ht

Full row-rank cross-temporal zero constraints (kernel) matrix coherent with y = vec(Y'): H'y = 0.

Hbrevet

Complete, not full row-rank cross-temporal zero constraints (kernel) matrix coherent with y = vec(Y'): H'y = 0.

Hcheckt

Full row-rank cross-temporal zero constraints (kernel) matrix coherent with y (structural representation): H' y = 0.

Ccheck

Cross-temporal aggregation matrix C coherent with y (structural representation).

Scheck

Cross-temporal summing matrix S coherent with y (structural representation).

Fmat

Cross-temporal summing matrix F coherent with y = vec(Y').

hts list from hts_tools .

thf list from thf_tools .

Arguments

C

(n_a n_b) cross-sectional (contemporaneous) matrix mapping the bottom level series into the higher level ones.

m

Highest available sampling frequency per seasonal cycle (max. order of temporal aggregation, m), or a subset of the p factors of m.

h

Forecast horizon for the lowest frequency (most temporally aggregated) time series (default is 1).

Ut

Zero constraints cross-sectional (contemporaneous) kernel matrix (U'y = 0) spanning the null space valid for the reconciled forecasts. It can be used instead of parameter C, but nb (n = n_a + n_b) is needed if U' [I \ -C]. If the hierarchy admits a structural representation, U' has dimension (n_a n).

nb

Number of bottom time series; if C is present, nb and Ut are not used.

sparse

Option to return sparse object (default is TRUE).

See Also

Other utilities: Cmatrix(), FoReco2ts(), agg_ts(), arrange_hres(), commat(), hts_tools(), lcmat(), oct_bounds(), residuals_matrix(), score_index(), shrink_estim(), thf_tools()

Examples

# One level hierarchy (na = 1, nb = 2) with quarterly data
obj <- ctf_tools(C = matrix(c(1, 1), 1), m = 4)