FoReco: Point Forecast Reconciliation
The FoReco (Forecast Reconciliation) package is designed for point (Di Fonzo and Girolimetto, 2021)1 and probabilistic (Girolimetto et al. 2023)2 forecast reconciliation, a post-forecasting process aimed to improve the accuracy of the base fore- casts for a system of linearly constrained (e.g. hierarchical/grouped) time series. It offers classical (bottom-up and top-down), and modern (optimal and heuristic combination) forecast reconciliation procedures for cross-sectional, temporal, and cross- temporal linearly constrained time series.
1 Di Fonzo, T., & Girolimetto, D. (2023). Cross-temporal forecast reconciliation: Optimal combination method and heuristic alternatives. International Journal of Forecasting, 39(1), 39–57. doi:10.1016/j.ijforecast.2021.08.004
2 Girolimetto, D., Athanasopoulos, G., Di Fonzo, T., & Hyndman, R. J. (2024). Cross-temporal probabilistic forecast reconciliation: Methodological and practical issues. International Journal of Forecasting, 40(3), 1134–1151. doi:10.1016/j.ijforecast.2023.10.003