Fast computation of reconciled forecasts for hierarchical and grouped time series

DOI10.1016/J.CSDA.2015.11.007zbMATH Open1468.62086OpenAlexW2096571934WikidataQ58297360 ScholiaQ58297360MaRDI QIDQ1659352FDOQ1659352

Authors Rob J. Hyndman, Alan J. Lee, Earo Wang

Publication date 15 August 2018

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL http://business.monash.edu/econometrics-and-business-statistics/research/publications/ebs/wp17-14.pdf

zbMATH Keywords

weighted least squarescombining forecastsreconciling forecastsgrouped time serieshierarchical time series

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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Cites work

• scientific article; zbMATH DE number 3520320 (Why is no real title available?)
• scientific article; zbMATH DE number 1941665 (Why is no real title available?)
• Forecasting with exponential smoothing. The state space approach
• LSQR: An Algorithm for Sparse Linear Equations and Sparse Least Squares
• Optimal combination forecasts for hierarchical time series
• Restoring accounting constraints in time series -- methods and software for a statistical agency

Cited in

(21)

• Optimal non-negative forecast reconciliation
• Grouped multivariate and functional time series forecasting: an application to annuity pricing
• Application of wavelet decomposition in time-series forecasting
• Probabilistic forecast reconciliation: properties, evaluation and score optimisation
• Integrated hierarchical forecasting
• Reconciling temporal hierarchies of wind power production with forecast-dependent variance structures
• Efficient probabilistic reconciliation of forecasts for real-valued and count time series
• Point and probabilistic forecast reconciliation for general linearly constrained multiple time series
• Forecasting Swiss exports using Bayesian forecast reconciliation
• Forecasting combination of hierarchical time series: a novel method with an application to CoVid-19
• Forecasting with temporal hierarchies
• Calculating the accuracy of hierarchical estimation
• Optimal combination forecasts for hierarchical time series
• Understanding forecast reconciliation
• Probabilistic Forecast Reconciliation under the Gaussian Framework
• Model selection in reconciling hierarchical time series
• Optimal forecast reconciliation for hierarchical and grouped time series through trace minimization
• Reconciliation of systems of time series according to a growth rates preservation principle
• Hierarchical probabilistic forecasting of electricity demand with smart meter data
• Dynamic principal component regression for forecasting functional time series in a group structure
• Temporal hierarchies with autocorrelation for load forecasting

Describes a project that uses

Uses Software

• LSQR
• forecast
• SparseM
• SPARSKIT
• Forecast
• expsmooth
• hts
• CRAIG

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