gtop: Reconciliate individual predictions using GTOP

In cugliari/gtop: Hierarchical Forecasting reconciliation using a Game Theorical O P

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

predictions for the individuals and the total,

solution

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))

cugliari/gtop documentation built on May 14, 2019, 12:50 p.m.