gtop: Game-Theoretically OPtimal (GTOP) Reconciliation Method

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In hierarchical time series (HTS) forecasting, the hierarchical relation between multiple time series is exploited to make better forecasts. This hierarchical relation implies one or more aggregate consistency constraints that the series are known to satisfy. Many existing approaches, like for example bottom-up or top-down forecasting, therefore attempt to achieve this goal in a way that guarantees that the forecasts will also be aggregate consistent. This package provides with an implementation of the Game-Theoretically OPtimal (GTOP) reconciliation method proposed in van Erven and Cugliari (2015), which is guaranteed to only improve any given set of forecasts. This opens up new possibilities for constructing the forecasts. For example, it is not necessary to assume that bottom-level forecasts are unbiased, and aggregate forecasts may be constructed by regressing both on bottom-level forecasts and on other covariates that may only be available at the aggregate level.

Author
Jairo Cugliari, Tim van Erven
Date of publication
2015-03-05 07:40:24
Maintainer
Jairo Cugliari <Jairo.Cugliari@univ-lyon2.fr>
License
GPL-2 | GPL-3
Version
0.2.0

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Man pages

gtop
Reconciliate individual predictions using GTOP
hts
Prediction conciliation by ...n.
proj
Prediction conciliation by projection.

Files in this package

gtop
gtop/inst
gtop/inst/CITATION
gtop/NAMESPACE
gtop/NEWS
gtop/R
gtop/R/hts.R
gtop/R/proj.R
gtop/R/gtop.R
gtop/MD5
gtop/DESCRIPTION
gtop/man
gtop/man/gtop.Rd
gtop/man/hts.Rd
gtop/man/proj.Rd