get_reconc_matrices

Creates the aggregation and summing matrices for a temporal hierarchy of time series
from a user-selected list of aggregation levels.

Provides methods for probabilistic reconciliation of hierarchical forecasts of time series.
The available methods include analytical Gaussian reconciliation (Corani et al., 2021)
<doi:10.1007/978-3-030-67664-3_13>,
MCMC reconciliation of count time series (Corani et al., 2024)
<doi:10.1016/j.ijforecast.2023.04.003>,
Bottom-Up Importance Sampling (Zambon et al., 2024)
<doi:10.1007/s11222-023-10343-y>,
methods for the reconciliation of mixed hierarchies (Mix-Cond and TD-cond)
(Zambon et al., 2024. The 40th Conference on Uncertainty in Artificial Intelligence, accepted).

Dario Azzimonti

bayesRecon

Probabilistic Reconciliation via Conditioning

Nicolò Rubattu

Lorenzo Zambon

Giorgio Corani

get_reconc_matrices function

<dl><dt>agg_levels</dt>
<dd>user-selected list of aggregation levels.</dd>
<dt>h</dt>
<dd>number of steps ahead for the bottom level forecasts.</dd></dl>

Arguments

Build hierarchy matrices — get_reconc_matrices

<dl>

<dt>agg_levels</dt>
<dd>user-selected list of aggregation levels.</dd>


<dt>h</dt>
<dd>number of steps ahead for the bottom level forecasts.</dd>

</dl>

get_reconc_matrices: Build hierarchy matrices

Description

Usage

Value

Arguments

See Also

Examples