proj: Prediction conciliation by projection.

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

Description

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

Usage

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

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

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