FoCo2-package: FoCo2: Coherent Forecast Combination for Linearly Constrained...

In FoCo2: Coherent Forecast Combination for Linearly Constrained Multiple Time Series

FoCo2: Coherent Forecast Combination for Linearly Constrained Multiple Time Series

Description

Methods and tools designed to improve the forecast accuracy for a linearly constrained multiple time series, while fulfilling the linear/aggregation relationships linking the components (Girolimetto and Di Fonzo, 2024 \Sexpr[results=rd]{tools:::Rd_expr_doi("10.48550/arXiv.2412.03429")}). FoCo2 offers multi-task forecast combination and reconciliation approaches leveraging input from multiple forecasting models or experts and ensuring that the resulting forecasts satisfy specified linear constraints. In addition, linear inequality constraints (e.g., non-negativity of the forecasts) can be imposed, if needed.

Author(s)

Maintainer: Daniele Girolimetto [e-mail] (ORCID) [funder, copyright holder]

Authors:

• Tommaso Di Fonzo (ORCID) [funder]

See Also

Useful links:

• https://github.com/danigiro/FoCo2/

• https://danigiro.github.io/FoCo2/

• Report bugs at https://github.com/danigiro/FoCo2/issues/

FoCo2 documentation built on June 14, 2025, 9:07 a.m.