Function to export the constraints designed for the cross-sectional and/or temporal reconciled forecasts
oct_bounds(hts_bounds, thf_bounds, m, C, Ut)(\(n \times 2\)) matrix with cross-sectional bounds: the first column is the lower bound, and the second column is the upper bound.
(\((k^\ast + m) \times 2\)) matrix with temporal bounds: the first column is the lower bound, and the second column is the upper bound.
Highest available sampling frequency per seasonal cycle (max. order of temporal aggregation, \(m\)), or a subset of \(p\) factors of \(m\).
(\(n_a \times n_b\)) cross-sectional (contemporaneous) matrix mapping the bottom level series into the higher level ones.
Zero constraints cross-sectional (contemporaneous) kernel matrix
\((\mathbf{U}'\mathbf{y} = \mathbf{0})\) spanning the null space valid
for the reconciled forecasts. It can be used instead of parameter
C, but nb (\(n = n_a + n_b\)) is needed if
\(\mathbf{U}' \neq [\mathbf{I} \ -\mathbf{C}]\). If the hierarchy
admits a structural representation, \(\mathbf{U}'\) has dimension
(\(n_a \times n\)).
A matrix with the cross-temporal bounds.
Other utilities:
Cmatrix(),
FoReco2ts(),
agg_ts(),
arrange_hres(),
commat(),
ctf_tools(),
hts_tools(),
lcmat(),
residuals_matrix(),
score_index(),
shrink_estim(),
thf_tools()
data(FoReco_data)
# monthly base forecasts
mbase <- FoReco2matrix(FoReco_data$base, m = 12)$k1
# monthly residuals
mres <- FoReco2matrix(FoReco_data$res, m = 12)$k1
# For example, in FoReco_data we want that BA > 78, and C > 50
cs_bound <- matrix(c(rep(-Inf, 5), 78, -Inf, 50, rep(+Inf, 8)), ncol = 2)
## Cross-sectional reconciliation
csobj <- htsrec(mbase, C = FoReco_data$C, comb = "shr", res = mres, bounds = cs_bound)
# Extension of the constraints to the cross-temporal case
ct_bound <- oct_bounds(hts_bounds = cs_bound, m = 12)
#> [1] "c"
## Cross-temporal reconciliation
obj <- octrec(FoReco_data$base, m = 12, C = FoReco_data$C, comb = "bdshr",
res = FoReco_data$res, bounds = ct_bound)