temo: Temporal middle-out reconciliation

In FoReco: Forecast Reconciliation

Temporal middle-out reconciliation

Description

The middle-out forecast reconciliation for temporal hierarchies combines top-down (tetd) and bottom-up (tebu) methods. Given the base forecasts of an intermediate temporal aggregation order k, it performs

• a top-down approach for the aggregation orders <k;

• a bottom-up approach for the aggregation orders >k.

Usage

temo(base, agg_order, order = max(agg_order), weights, tew = "sum",
     normalize = TRUE)

Arguments

base	A (hk \times 1) numeric vector containing the temporal aggregated base forecasts of order k; k is an aggregation order (a factor of m, and 1<k<m), m is the max aggregation order, and h is the forecast horizon for the lowest frequency time series.
agg_order	Highest available sampling frequency per seasonal cycle (max. order of temporal aggregation, m), or a vector representing a subset of p factors of m.
order	The intermediate fixed aggregation order k.
weights	A (hm \times 1) numeric vector containing the proportions for the high-frequency time series; m is the max aggregation order, and h is the forecast horizon for the lowest frequency time series.
tew	A string specifying the type of temporal aggregation. Options include: "sum" (simple summation, default), "avg" (average), "first" (first value of the period), and "last" (last value of the period).
normalize	If TRUE (default), the weights will sum to 1.

Value

A (h(k^\ast+m) \times 1) numeric vector of temporal reconciled forecasts.

See Also

Middle-out reconciliation: csmo(), ctmo()

Temporal framework: teboot(), tebu(), tecov(), telcc(), terec(), tetd(), tetools()

Examples

set.seed(123)
# (6 x 1) base forecasts vector (simulated), forecast horizon = 3
# and intermediate aggregation order k = 2 (max agg order = 4)
basek2 <- rnorm(3*2, 5)
# Same weights for different forecast horizons
fix_weights <- runif(4)
reco <- temo(base = basek2, order = 2, agg_order = 4, weights = fix_weights)

# Different weights for different forecast horizons
h_weights <- runif(4*3)
recoh <- temo(base = basek2, order = 2, agg_order = 4, weights = h_weights)

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