proj: Prediction conciliation by projection.

Description

Uses a simple L2 projection to reconciliate hierarchical time series forecasts.

Usage

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proj(preds_indiv, pred_total, weights_indiv, weight_total)

Arguments

preds_indiv

: K-length vector with predictions ybar_1,...,ybar_K for individual regions

pred_total

: number with prediction ybar_* for the total consumption

weights_indiv

: K-length vector with weights a_1,...,a_K for individual regions

weight_total

: number with weight a_* for the total consumption

Value

A vector with the reconciliated predictions for the individuals and the total.

Examples

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K <- 5
proj(preds_indiv = rep(0, K), 1,
     weights_indiv = rep(1, K),
     weight_total = 2)

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

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