sim_hierarchy

<p>A synthetic 7-variable hierachy.  The series AA and AB aggregate to A, the series BA and
BB aggregate to B, the series A and B aggregate to Tot.  All bottom level series are simulated
from ARMA models. There are 1506 observations generated.</p>

datasets

Training of reconciliation weights for probabilistic forecasts to optimise total energy (or variogram) score using Stochastic Gradient Descent with automatically differentiated gradients. See Panagiotelis, Gamakumara, Athanasopoulos and Hyndman, (2020) <https://www.monash.edu/business/ebs/research/publications/ebs/wp26-2020.pdf> for a description of the methods.

Anastasios Panagiotelis

ProbReco

Score Optimal Probabilistic Forecast Reconciliation

sim_hierarchy function

<p>A tibble with a time index Time and one column for each of the seven variables in 
the hierarchy</p>

sim_hierarchy: Synthetic hierarchical data from stationary Gaussian ARMA models.

Description

Usage

Arguments

Format