Reconciles a hierarchy using the minimum trace combination method. The response variable of the hierarchy must be aggregated using sums. The forecasted time points must match for all series in the hierarchy (caution: this is not yet tested for beyond the series length).
min_trace(
models,
method = c("wls_var", "ols", "wls_struct", "mint_cov", "mint_shrink"),
sparse = NULL
)A column of models in a mable.
The reconciliation method to use.
If TRUE, the reconciliation will be computed using sparse matrix algebra? By default, sparse matrices will be used if the MatrixM package is installed.
Wickramasuriya, S. L., Athanasopoulos, G., & Hyndman, R. J. (2019). Optimal forecast reconciliation for hierarchical and grouped time series through trace minimization. Journal of the American Statistical Association, 1-45. https://doi.org/10.1080/01621459.2018.1448825
reconcile(), aggregate_key()