The FoReco (Forecast Reconciliation) package is designed for point forecast reconciliation, a post-forecasting process aimed to improve the quality of the base forecasts for a system of linearly constrained (e.g. hierarchical/grouped) time series.

It offers classical (bottom-up), optimal and heuristic combination forecast reconciliation procedures by exploiting cross-sectional, temporal, and cross-temporal relationships linking the time series.

The main functions are:

  • htsrec(): cross-sectional (contemporaneous) forecast reconciliation.
  • thfrec(): forecast reconciliation for a single time series through temporal hierarchies.
  • tcsrec(): heuristic first-temporal-then-cross-sectional cross-temporal forecast reconciliation.
  • cstrec(): heuristic first-cross-sectional-then-temporal cross-temporal forecast reconciliation.
  • iterec(): heuristic iterative cross-temporal forecast reconciliation.
  • octrec(): optimal combination cross-temporal forecast reconciliation.

Installation

You can install the stable version on R CRAN

install.packages('FoReco', dependencies = TRUE)

You can also install the development version from Github

# install.packages("devtools")
devtools::install_github("daniGiro/FoReco", build_vignettes = TRUE)

Getting help

If you encounter a clear bug, please file a minimal reproducible example on GitHub.