Software and packages
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Forecast Reconciliation is a a post-forecasting process aimed to improve the accuracy and align forecasts for a system of linearly constrained (e.g. hierarchical/grouped) time series. The FoReco package provides a comprehensive set of classical (bottom-up, top-down and middle-out), and modern (optimal and heuristic combination) forecast reconciliation procedures in different frameworks including cross-sectional, temporal, or cross-temporal settings. Additionally, FoReco provides various functions for different aspects of forecast reconciliation, including aggregating time series, balancing hierarchies, computing projection and covariance matrices, and more. |
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