FoReco: Point Forecast Reconciliation


Daniele Girolimetto, Tommaso Di Fonzo


May 4, 2023

   Publication details



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. and Girolimetto, D. (2021). “Cross-temporal forecast reconciliation: Optimal combination method and heuristic alternatives”. International Journal of Forecasting. In press. issn: 0169-2070.

  • 2 Girolimetto, D., Athanasopoulos, G., Di Fonzo, T., and Hyndman, R. J. (2023). “Cross-temporal forecast reconciliation”. arXiv:2303.17277