NEWS.md

In FoReco: Forecast Reconciliation

FoReco 0.2.6

Major changes: probabilistic forecast reconciliation

• Added boot_cs(), boot_te() and boot_ct() to draw samples from, respectively, cross-sectional, temporal and cross-temporal joint (block) bootstrap.

Minor changes

• Fixed deprecation warnings in Matrix (v. 1.5-0);
• Improved docs and bug fixes;
• Fixed ctbu() inputs;
• Added FoReco2matrix() to trasform FoReco forecasts input and output in a list of matrix/vector class;
• Added agg_ts(): non-overlapping temporal aggregation of a time series according to a specific aggregation order.
• Added arrange_hres() and residuals_matrix() functions to arrange residuals for the covariance matrix under Gaussianity;

FoReco 0.2.5

Minor changes

• Fixed the not negative reconciliation "sntz" for octrec();
• Fixed documentation.

FoReco 0.2.4

Major changes

• Added lcmat() function.

Minor changes

• Fixed BU approach when the number of columns of basef is equal to the number of bottom time series htsrec();
• Fixed score_index();
• Fixed the bounds param when type = "S" in htsrec(), thfrec() and octrec();
• Add the possibility to fix base forecasts through the v param in htsrec(), thfrec() and octrec() - experimental;
• Add two new type of optimal cross-temporal reconciliation (cs_struc and t_struc);
• Improved docs and bug fixes.

FoReco 0.2.2

Minor changes

• Fixed documentation;
• Removed ut2c() and srref().

FoReco 0.2.1

Minor changes

• Fixed a bug in the output of lccrec() (now the function returns the Level Conditional Coherent or the Combined Conditional Coherent forecasts);
• Fixed the not negative reconciliation "KAnn" when keep = "list".

FoReco 0.2.0

Major changes

• It's possible to use a subset of factors of m (max. order of temporal aggregation);
• Added the possibility for htsrec(), thfrec() and octrec() to introduce a list of h covariance matrices in the parameters W and Omega, where h stands for the forecast horizon (note that for thfrec() and octrec() this is the forecast horizon of the entire cycle);
• Param Sstruc is no more avaible in octrec() and ctf_tools(). FoReco uses a fast algorithm to compute Scheck, so no external input is needed;
• Modified output of ctf_tools() (added Ccheck, Htcheck, Scheck, removed Cstruc, Sstruc), hts_tools() (added C) and thf_tools() (added m);
• Added two new not negative reconciliation techniques ("KAnn" and "sntz") with a new parameter (nn_type) in htsrec(), thfrec() and octrec();
• Added the top-down reconciliation function tdrec();
• Added the level conditional forecast reconciliation (with and without not-negative constraints) for genuine hierarchical/grouped time series levrec() (cross-sectional, temporal and cross-temporal).

Minor changes

• Now in octrec() it is also possible to introduce the Ω covariance matrix variant through the Omega parameter and not only the W variant with the W parameter;
• Updated tcsrec(), cstrec() and iterec(). In the iterec() function the maxit parameter has been replaced by itmax, however for the moment maxit is still supported;
• Now FoReco removes null rows from the cross-sectional aggregation matrix C and it warns the user if the balanced version of an unbalanced hierarchy is considering duplicated variables;
• Redesigned the console output and added a new convergence norm as default for iterec() (norm parameter).

Experimental

• Add the possibility to introduce constraints through the bounds param in htsrec(), thfrec() and octrec();
• Add a function oct_bounds() to organize the bounds on a specific dimension (i.e. only cross-sectional or only temporal) in a cross-temporal framework;
• Added ut2c() and srref() to develop a cross-sectional structural representation starting from a zero constraints kernel matrix;
• Added in score_index() the calculation of multiple forecast horizons index (like 1:6) and multiple cross-sectional levels for a forecasting experiment.

FoReco 0.1.1

Minore release, fixing some bugs and the documentation

• Fixed a bug in iterec() when calculating the incoherence
• Fixed documentation
• Changed the contact mail (now it's [e-mail])
• Corrected the second section of the vignette "Average relative accuracy indices"

FoReco 0.1.0

• Release on github

FoReco documentation built on May 31, 2023, 5:17 p.m.