FoReco: Point Forecast Reconciliation

   Authors

Daniele Girolimetto, Tommaso Di Fonzo

   Published

May 4, 2023

   Publication details

CRAN

   Links

[CRAN] [code]

Abstract

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

    •