Software and packages
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FoCo2 (Coherent Forecast Combination) is a forecasting package designed to handle multiple time series forecasts from different experts, subject to linear constraints. It offers both optimal and heuristic methods for combining expert forecasts and reconciling them through a multi-task approach. This process either simultaneously (in the optimal case) or sequentially (in the heuristic cases) integrates forecasts from multiple experts while incorporating a priori constraints to produce coherent forecasts. In addition, linear inequality constraints (e.g., non-negativity of the forecasts) can be imposed, if needed. |
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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. |