bayesRecon

CRANbayesReconMaRDI QIDQ160069

Probabilistic Reconciliation via Conditioning

Nicolò Rubattu, Dario Filippo Azzimonti, Giorgio Corani, Lorenzo Zambon

Last update: 19 December 2023

Copyright license: GNU Lesser General Public License

Software version identifier: 0.1.0, 0.1.1, 0.1.2, 0.2.0

Description

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>.

Cites work

• Probabilistic Reconciliation of Hierarchical Forecast via Bayes’ Rule
• Probabilistic Reconciliation of Count Time Series
• Efficient probabilistic reconciliation of forecasts for real-valued and count time series

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