proj

: K-length vector with predictions ybar_1,...,ybar_K for individual regions

preds_indiv

: number with prediction ybar_* for the total consumption

pred_total

: K-length vector with weights a_1,...,a_K for individual regions

weights_indiv

: number with weight a_* for the total consumption

weight_total


Uses a simple L2 projection to reconciliate hierarchical time
series forecasts.


In hierarchical time series (HTS) forecasting, the hierarchical relation between multiple time series is exploited to make better forecasts. This hierarchical relation implies one or more aggregate consistency constraints that the series are known to satisfy. Many existing approaches, like for example bottom-up or top-down forecasting, therefore attempt to achieve this goal in a way that guarantees that the forecasts will also be aggregate consistent. This package provides with an implementation of the Game-Theoretically OPtimal (GTOP) reconciliation method proposed in van Erven and Cugliari (2015), which is guaranteed to only improve any given set of forecasts. This opens up new possibilities  for constructing the forecasts. For example, it is not necessary to assume that bottom-level forecasts are unbiased, and aggregate forecasts may be constructed by regressing both on bottom-level forecasts and on other covariates that may only be available at the aggregate level.

proj: Prediction conciliation by projection.

Description

Usage

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Value

Examples