README.md

In ProbReco: Score Optimal Probabilistic Forecast Reconciliation

ProbReco

Overview

A package for probabilistic forecast reconciliation based on score optimisation via stochastic gradient methods. The main functions are

• scoreopt() for score optimisation based on a rolling window of out of sample forecasts.
• scoreoptin() for score optimisation based on using residuals (easier interface).

More information can be found in the package vignettes.

Installation

# To download `ProbReco` from CRAN:
install.packages("ProbReco")

Development version

To get a bug fix or to use a feature from the development version, you can install the development version of ProbReco from GitHub.

# install.packages("devtools")
devtools::install_github("anastasiospanagiotelis/ProbReco")

Getting help

If you encounter a clear bug, please file an issue with a minimal reproducible example on GitHub.

ProbReco documentation built on April 5, 2023, 5:10 p.m.