Changelog

Source: NEWS.md

FoReco 0.2.62023-05-16

Major changes: probabilistic forecast reconciliation
  • Added boot_cs(), boot_te() and boot_ct() to draw samples from, respectively, cross-sectional, temporal and cross-temporal joint (block) bootstrap.
Minor changes
  • Fixed deprecation warnings in Matrix (v. 1.5-0);
  • Improved docs and bug fixes;
  • Fixed ctbu() inputs;
  • Added FoReco2matrix() to trasform FoReco forecasts input and output in a list of matrix/vector class;
  • Added agg_ts(): non-overlapping temporal aggregation of a time series according to a specific aggregation order.
  • Added arrange_hres() and residuals_matrix() functions to arrange residuals for the covariance matrix under Gaussianity;

FoReco 0.2.52022-07-04

Minor changes
  • Fixed the not negative reconciliation “sntz” for octrec();
  • Fixed documentation.

FoReco 0.2.42022-06-16

Major changes
Minor changes
  • Fixed BU approach when the number of columns of basef is equal to the number of bottom time series htsrec();
  • Fixed score_index();
  • Fixed the bounds param when type = "S" in htsrec(), thfrec() and octrec();
  • Add the possibility to fix base forecasts through the v param in htsrec(), thfrec() and octrec() - experimental;
  • Add two new type of optimal cross-temporal reconciliation (cs_struc and t_struc);
  • Improved docs and bug fixes.

FoReco 0.2.22022-02-17

Minor changes
  • Fixed documentation;
  • Removed ut2c() and srref().

FoReco 0.2.12021-07-23

Minor changes
  • Fixed a bug in the output of lccrec() (now the function returns the Level Conditional Coherent or the Combined Conditional Coherent forecasts);
  • Fixed the not negative reconciliation “KAnn” when keep = "list".

FoReco 0.2.02021-05-21

Major changes
  • It’s possible to use a subset of factors of m (max. order of temporal aggregation);
  • Added the possibility for htsrec(), thfrec() and octrec() to introduce a list of h covariance matrices in the parameters W and Omega, where h stands for the forecast horizon (note that for thfrec() and octrec() this is the forecast horizon of the entire cycle);
  • Param Sstruc is no more avaible in octrec() and ctf_tools(). FoReco uses a fast algorithm to compute Scheck, so no external input is needed;
  • Modified output of ctf_tools() (added Ccheck, Htcheck, Scheck, removed Cstruc, Sstruc), hts_tools() (added C) and thf_tools() (added m);
  • Added two new not negative reconciliation techniques (“KAnn” and “sntz”) with a new parameter (nn_type) in htsrec(), thfrec() and octrec();
  • Added the top-down reconciliation function tdrec();
  • Added the level conditional forecast reconciliation (with and without not-negative constraints) for genuine hierarchical/grouped time series levrec() (cross-sectional, temporal and cross-temporal).
Minor changes
  • Now in octrec() it is also possible to introduce the Ω covariance matrix variant through the Omega parameter and not only the W variant with the W parameter;
  • Updated tcsrec(), cstrec() and iterec(). In the iterec() function the maxit parameter has been replaced by itmax, however for the moment maxit is still supported;
  • Now FoReco removes null rows from the cross-sectional aggregation matrix C and it warns the user if the balanced version of an unbalanced hierarchy is considering duplicated variables;
  • Redesigned the console output and added a new convergence norm as default for iterec() (norm parameter).
Experimental
  • Add the possibility to introduce constraints through the bounds param in htsrec(), thfrec() and octrec();
  • Add a function oct_bounds() to organize the bounds on a specific dimension (i.e. only cross-sectional or only temporal) in a cross-temporal framework;
  • Added ut2c() and srref() to develop a cross-sectional structural representation starting from a zero constraints kernel matrix;
  • Added in score_index() the calculation of multiple forecast horizons index (like 1:6) and multiple cross-sectional levels for a forecasting experiment.

FoReco 0.1.12020-10-17

Minore release, fixing some bugs and the documentation

  • Fixed a bug in iterec() when calculating the incoherence
  • Fixed documentation
  • Changed the contact mail (now it’s )
  • Corrected the second section of the vignette “Average relative accuracy indices”

FoReco 0.1.02020-10-01

  • Release on github