lcmat: Linear combination (aggregation) matrix for a general...

In FoReco: Forecast Reconciliation

Linear combination (aggregation) matrix for a general linearly constrained multiple time series

Description

This function transforms a general (possibly redundant) zero constraints matrix into a linear combination (aggregation) matrix \mathbf{A}_{cs}. When working with a general linearly constrained multiple (n-variate) time series, getting a linear combination matrix \mathbf{A}_{cs} is a critical step to obtain a structural-like representation such that

\mathbf{C}_{cs} = [\mathbf{I} \quad -\mathbf{A}],

where \mathbf{C}_{cs} is the full rank zero constraints matrix (Girolimetto and Di Fonzo, 2023).

Usage

lcmat(cons_mat, method = "rref", tol = sqrt(.Machine$double.eps),
       verbose = FALSE, sparse = TRUE)

Arguments

cons_mat	A (r \times n) numeric matrix representing the cross-sectional zero constraints.
method	Method to use: "rref" for the Reduced Row Echelon Form through Gauss-Jordan elimination (default), or "qr" for the (pivoting) QR decomposition (Strang, 2019).
tol	Tolerance for the "rref" or "qr" method.
verbose	If TRUE, intermediate steps are printed (default is FALSE).
sparse	Option to return a sparse matrix (default is TRUE).

Value

A list with two elements: (i) the linear combination (aggregation) matrix (agg_mat) and (ii) the vector of the column permutations (pivot).

References

Girolimetto, D. and Di Fonzo, T. (2023), Point and probabilistic forecast reconciliation for general linearly constrained multiple time series, Statistical Methods & Applications, in press. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1007/s10260-023-00738-6")}.

Strang, G. (2019), Linear algebra and learning from data, Wellesley, Cambridge Press.

See Also

Utilities: FoReco2matrix(), aggts(), balance_hierarchy(), commat(), csprojmat(), cstools(), ctprojmat(), cttools(), df2aggmat(), recoinfo(), res2matrix(), shrink_estim(), teprojmat(), tetools(), unbalance_hierarchy()

Examples

## Two hierarchy sharing the same top-level variable, but not sharing the bottom variables
#        X            X
#    |-------|    |-------|
#    A       B    C       D
#  |---|
# A1   A2
# 1) X = C + D,
# 2) X = A + B,
# 3) A = A1 + A2.
cons_mat <- matrix(c(1,-1,-1,0,0,0,0,
               1,0,0,-1,-1,0,0,
               0,0,0,1,0,-1,-1), nrow = 3, byrow = TRUE)
obj <- lcmat(cons_mat = cons_mat, verbose = TRUE)
agg_mat <- obj$agg_mat # linear combination matrix
pivot <- obj$pivot # Pivot vector

FoReco documentation built on Sept. 14, 2024, 9:07 a.m.