boot_te | R Documentation |
Joint block bootstrap for generating probabilistic base forecasts that take into account the correlation between different temporal aggregation order (Girolimetto et al. 2023).
boot_te(fit, boot_size, m, h = 1, seed = NULL)
fit |
A list of \mjseqn(k^\ast+m) base forecast models ordered as
[lowest_freq' ... highest_freq']'. It is important to note that the models
must have the |
boot_size |
The number of bootstrap replicates. |
m |
Highest available sampling frequency per seasonal cycle (max. order of temporal aggregation, \mjseqnm), or a subset of \mjseqnp factors of \mjseqnm. |
h |
Forecast horizon for the most temporally aggregated series. |
seed |
An integer seed. |
A list with two elements: the seed used to sample the errors and a (\mjseqnboot\_size\times h(k^\ast+m)) matrix
Girolimetto, D., Athanasopoulos, G., Di Fonzo, T., & Hyndman, R. J. (2023), Cross-temporal Probabilistic Forecast Reconciliation, \Sexpr[results=rd]{tools:::Rd_expr_doi("10.48550/arXiv.2303.17277")}.
Other bootstrap:
boot_cs()
,
boot_ct()
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