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
Recommendations
weighted least squarescombining forecastsreconciling forecastsgrouped time serieshierarchical time series
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)
Cites Work
- LSQR: An Algorithm for Sparse Linear Equations and Sparse Least Squares
- Optimal combination forecasts for hierarchical time series
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- Forecasting with exponential smoothing. The state space approach
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- Restoring accounting constraints in time series -- methods and software for a statistical agency
Cited In (21)
- Probabilistic forecast reconciliation: properties, evaluation and score optimisation
- Probabilistic Forecast Reconciliation under the Gaussian Framework
- Point and probabilistic forecast reconciliation for general linearly constrained multiple time series
- Calculating the accuracy of hierarchical estimation
- Dynamic principal component regression for forecasting functional time series in a group structure
- Forecasting with temporal hierarchies
- Model selection in reconciling hierarchical time series
- Optimal forecast reconciliation for hierarchical and grouped time series through trace minimization
- Hierarchical probabilistic forecasting of electricity demand with smart meter data
- Understanding forecast reconciliation
- Grouped multivariate and functional time series forecasting: an application to annuity pricing
- Optimal non-negative forecast reconciliation
- Forecasting Swiss exports using Bayesian forecast reconciliation
- Forecasting combination of hierarchical time series: a novel method with an application to CoVid-19
- Temporal hierarchies with autocorrelation for load forecasting
- Application of wavelet decomposition in time-series forecasting
- Reconciliation of systems of time series according to a growth rates preservation principle
- Optimal combination forecasts for hierarchical time series
- 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
Uses Software
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