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ProbReco: Score Optimal Probabilistic Forecast Reconciliation
Training of reconciliation weights for probabilistic forecasts to optimise total energy (or variogram) score using Stochastic Gradient Descent with automatically differentiated gradients. See Panagiotelis, Gamakumara, Athanasopoulos and Hyndman, (2020) <https://www.monash.edu/business/ebs/research/publications/ebs/wp26-2020.pdf> for a description of the methods.
Getting started
Browse package contents
Package details |
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| Author | Anastasios Panagiotelis [aut, cre] (<https://orcid.org/0000-0001-8678-7294>) |
| Maintainer | Anastasios Panagiotelis <anastasios.panagiotelis@sydney.edu.au> |
| License | GPL-3 |
| Version | 0.1.2 |
| URL | https://github.com/anastasiospanagiotelis/ProbReco |
| Package repository | View on CRAN |
| Installation |
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