bayesRecon (version 1.0.2)

.core_reconc_t: Core reconciliation via multivariate t-distribution.

Description

Internal function that performs the core reconciliation logic for the t-distribution based reconciliation method. This function assumes an uncertain covariance matrix with an Inverse-Wishart prior.

Usage

.core_reconc_t(
  A,
  base_fc_mean,
  Psi_post,
  nu_post,
  return_upper = FALSE,
  return_parameters = FALSE
)

Value

A list containing:

• bottom_rec_mean: reconciled bottom-level mean.

• bottom_rec_scale_matrix: reconciled bottom-level scale matrix.

• bottom_rec_df: reconciled degrees of freedom.

If return_upper is TRUE, also returns:

• upper_rec_mean: reconciled upper-level mean.

• upper_rec_scale_matrix: reconciled upper-level scale matrix.

• upper_rec_df: reconciled upper-level degrees of freedom.

Arguments

A

Matrix (n_upper x n_bottom) defining the hierarchy where upper = A %*% bottom.

base_fc_mean

Vector of length (n_upper + n_bottom) containing the base forecast means for both upper and bottom levels (upper first, then bottom).

Psi_post

Scale matrix (n_upper + n_bottom x n_upper + n_bottom) of the posterior multivariate t-distribution.

nu_post

Degrees of freedom of the posterior multivariate t-distribution.

return_upper

Logical, whether to return the reconciled parameters for the upper variables (default is FALSE).