gtop: Reconciliate individual predictions using GTOP

In gtop: Game-Theoretically OPtimal (GTOP) Reconciliation Method

Description

Uses a Game Theory approach to reconciliate hierarchical time series predicitons

Usage

gtop(preds_indiv, pred_total, weights_indiv, weight_total, bounds_indiv,
  solver = "quad")

Arguments

preds_indiv	vector contains the individual predictions
pred_total	prediction for the sum of individuals
weights_indiv	vector, contains the weights of the individuals
weight_total	weight of the total
bounds_indiv	vector, contains the bounds of the individuals
solver	string, use quadratic programming (quad) or Lasso-like solvers (lasso)

Details

In hierarchical time series forecasts, one predicts individuals quantities and a global quantity. There exists a contraint that matches the sum of the individual quantities to the global quantity. However, forecasting models don't take into account this constraint. With GTOP you can reconciliate the individual and global quantities in order to match the aggregate consistency contraint.

Value

A list with

• pred_indivs the reconciliated predictions for the individuals and the total,

• solution the solution to the associate minimisation problem.

Examples

K <- 5
indiv <- rep(0, K)
total <- 1
gtop(preds_indiv   = indiv,
     pred_total = total,
     weights_indiv = rep(1, K),
     weight_total = 2,
     bounds_indiv  = rep(1 / K, K))

Example output

Loading required package: hts
Loading required package: forecast
Loading required package: quadprog
Loading required package: lassoshooting

Attaching package: 'gtop'

The following object is masked from 'package:hts':

    hts

The following object is masked from 'package:stats':

    proj

$preds_indiv
[1] 0.1818182 0.1818182 0.1818182 0.1818182 0.1818182 0.9090909

$solution
           [,1]
[1,] -0.1818182

gtop documentation built on May 2, 2019, 6:10 a.m.