bayesRecon
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BayesRecon
Provides methods for probabilistic reconciliation of hierarchical forecasts of time series. The available methods include analytical Gaussian reconciliation (Corani et al., 2021) <doi:10.1007/978-3-030-67664-3_13>, MCMC reconciliation of count time series (Corani et al., 2022) <doi:10.48550/arXiv.2207.09322>, Bottom-Up Importance Sampling (Zambon et al., 2022) <doi:10.48550/arXiv.2210.02286>.
- Efficient probabilistic reconciliation of forecasts for real-valued and count time series
- Probabilistic Reconciliation of Count Time Series
- Probabilistic Reconciliation of Hierarchical Forecast via Bayes’ Rule
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