Temporal top-down reconciliation

Top-down forecast reconciliation for a univariate time series, where the forecast of the most aggregated temporal level is disaggregated according to a proportional scheme (weights). Besides fulfilling any aggregation constraint, the top-down reconciled forecasts should respect two main properties:

• the top-level value remains unchanged;

• all the bottom time series reconciled forecasts are non-negative.

Usage

tetd(base, agg_order, weights, tew = "sum", normalize = TRUE)

Arguments

base

A (\(hm \times 1\)) numeric vector containing the temporal aggregated base forecasts of order \(m\); \(m\) is the max aggregation order, and \(h\) is the forecast horizon for the lowest frequency time series.

agg_order

Highest available sampling frequency per seasonal cycle (max. order of temporal aggregation, \(m\)), or a vector representing a subset of \(p\) factors of \(m\).

weights

A (\(hm \times 1\)) numeric vector containing the proportions for the high-frequency time series; \(m\) is the max aggregation order, and \(h\) is the forecast horizon for the lowest frequency time series.

tew

A string specifying the type of temporal aggregation. Options include: "sum" (simple summation, default), "avg" (average), "first" (first value of the period), and "last" (last value of the period).

normalize

If TRUE (default), the weights will sum to 1.

Value

A (\(h(k^\ast+m) \times 1\)) numeric vector of temporal reconciled forecasts.

See also

Top-down reconciliation: cstd(), cttd()

Temporal framework: teboot(), tebu(), tecov(), telcc(), temo(), terec(), tetools()

Examples

set.seed(123)
# (2 x 1) top base forecasts vector (simulated), forecast horizon = 2
topf <- rnorm(2, 10)
# Same weights for different forecast horizons
fix_weights <- runif(4)
reco <- tetd(base = topf, agg_order = 4, weights = fix_weights)

# Different weights for different forecast horizons
h_weights <- runif(4*2)
recoh <- tetd(base = topf, agg_order = 4, weights = h_weights)