Package: FoReco 1.3.0.9000

FoReco: Forecast Reconciliation

Classical (bottom-up and top-down), optimal combination and heuristic point (Di Fonzo and Girolimetto, 2023 <doi:10.1016/j.ijforecast.2021.08.004>) and probabilistic (Girolimetto et al. 2024 <doi:10.1016/j.ijforecast.2023.10.003>) forecast reconciliation procedures for linearly constrained time series (e.g., hierarchical or grouped time series) in cross-sectional, temporal, or cross-temporal frameworks.

Authors:Daniele Girolimetto [aut, cre], Tommaso Di Fonzo [aut], Yangzhuoran Fin Yang [ctb]

FoReco_1.3.0.9000.tar.gz
FoReco_1.3.0.9000.zip(r-4.7)FoReco_1.3.0.9000.zip(r-4.6)FoReco_1.3.0.9000.zip(r-4.5)
FoReco_1.3.0.9000.tgz(r-4.6-any)FoReco_1.3.0.9000.tgz(r-4.5-any)
FoReco_1.3.0.9000.tar.gz(r-4.7-any)FoReco_1.3.0.9000.tar.gz(r-4.6-any)
FoReco_1.3.0.9000.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
FoReco/json (API)

# Install 'FoReco' in R:
install.packages('FoReco', repos = c('https://danigiro.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/danigiro/foreco/issues

Pkgdown/docs site:https://danigiro.github.io

Datasets:
  • expside - Italian Quarterly National Accounts Dataset
  • gdpconsmat - Italian Quarterly National Accounts Dataset
  • incside - Italian Quarterly National Accounts Dataset
  • itagdp - Italian Quarterly National Accounts Dataset
  • outside - Italian Quarterly National Accounts Dataset
  • vnaggmat - Australian Tourism Demand Dataset
  • vndata - Australian Tourism Demand Dataset

On CRAN:

Conda:

forecastingreconciliationtime-series

7.64 score 39 stars 2 packages 142 scripts 692 downloads 55 exports 15 dependencies

Last updated from:8429183638. Checks:9 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-devel-x86_64OK177
source / vignettesOK208
linux-release-x86_64OK188
macos-release-arm64OK102
macos-oldrel-arm64OK135
windows-develOK128
windows-releaseOK107
windows-oldrelOK135
wasm-releaseOK123

Exports:aggtsarrange_hresas_ctmatrixas_hstack_ctlayoutas_hstack_telayoutas_tevectorbalance_hierarchycommatcommat_indexcomponentscsbootcsbucscovcslcccsmocsmvncsprojmatcsreccssmpcstdcstoolscstrecctbootctbuctcovctlccctmoctmvnctprojmatctrecctsmpcttdcttoolsdf2aggmatdrop_foreco_classitereclcmatnew_foreco_classres2matrixset_boundsshrink_estimshrink_oasdtcsrecteboottebutecovtelcctemotemvnteprojmatterectesmptetdtetoolsunbalance_hierarchy

Dependencies:clidistributionalgenericsgluelatticelifecycleMatrixnumDerivosqppillarRcpprlangS7utf8vctrs

Readme and manuals

Help Manual

Help pageTopics
FoReco: Forecast ReconciliationFoReco-package FoReco
Non-Overlapping Temporal Aggregation of a Time Seriesaggts
Convert Between Horizon-stacked and Cross-temporal Layoutsas_ctmatrix as_hstack_ctlayout
Convert Between Horizon-stacked and Temporal Layoutsas_hstack_telayout as_tevector
Aggregation Matrix of a (Possibly) Unbalanced Hierarchy in Balanced Formbalance_hierarchy
Commutation Matrixcommat commat_index
Cross-sectional Joint Block Bootstrapcsboot
Cross-sectional Bottom-up Reconciliationcsbu
Cross-sectional Covariance Matrix Approximationcscov cscov.default cscov.ols cscov.sam cscov.shr cscov.str cscov.wls
Level Conditional Coherent Reconciliation for Genuine Hierarchical/Grouped Time Seriescslcc
Cross-sectional Middle-out Reconciliationcsmo
Cross-sectional Gaussian Probabilistic Reconciliationcsmvn
Projection Matrix for Optimal Combination Cross-sectional Reconciliationcsprojmat
Optimal Combination Cross-sectional Reconciliationcsrec
Cross-sectional Probabilistic Reconciliation (Sample Approach)cssmp
Cross-sectional Top-down Reconciliationcstd
Cross-sectional Reconciliation Toolscstools
Cross-temporal Joint Block Bootstrapctboot
Cross-temporal Bottom-up Reconciliationctbu
Cross-temporal Covariance Matrix Approximationctcov ctcov.acov ctcov.bdsam ctcov.bdshr ctcov.bsam ctcov.bshr ctcov.csstr ctcov.default ctcov.hbsam ctcov.hbshr ctcov.hsam ctcov.hshr ctcov.ols ctcov.sam ctcov.shr ctcov.Ssam ctcov.Sshr ctcov.str ctcov.testr ctcov.wlsh ctcov.wlsv
Level Conditional Coherent Reconciliation for Cross-temporal Hierarchiesctlcc
Cross-temporal Middle-out Reconciliationctmo
Cross-temporal Gaussian Probabilistic Reconciliationctmvn
Projection Matrix for Optimal Combination Cross-temporal Reconciliationctprojmat
Optimal Combination Cross-temporal Reconciliationctrec
Cross-temporal Probabilistic Reconciliation (Sample Approach)ctsmp
Cross-temporal Top-down Reconciliationcttd
Cross-temporal Reconciliation Toolscttools
Cross-sectional Aggregation Matrix of a Dataframedf2aggmat
FoReco Reconciliation Classcomponents.foreco drop_foreco_class foreco foreco-class new_foreco_class plot.foreco print.foreco print.summary_foreco summary.foreco
Italian Quarterly National Accounts Datasetexpside gdpconsmat incside itagdp outside
Iterative Cross-temporal Reconciliationiterec
Linear Combination (Aggregation) Matrix for a General Linearly Constrained Multiple Time Serieslcmat
One-Step and Multi-Step Residualsarrange_hres res2matrix
Set Bounds for Bounded Forecast Reconciliationset_bounds
Shrinkage of the Covariance Matrixshrink_estim
Shrinkage of the Covariance Matrix Using the Oracle Approximationshrink_oasd
Heuristic Cross-temporal Reconciliationcstrec tcsrec
Temporal Joint Block Bootstrapteboot
Temporal Bottom-up Reconciliationtebu
Temporal Covariance Matrix Approximationtecov tecov.acov tecov.default tecov.har1 tecov.ols tecov.sam tecov.sar1 tecov.shr tecov.str tecov.strar1 tecov.wlsh tecov.wlsv
Level Conditional Coherent Reconciliation for Temporal Hierarchiestelcc
Temporal Middle-out Reconciliationtemo
Temporal Gaussian Probabilistic Reconciliationtemvn
Projection Matrix for Optimal Combination Temporal Reconciliationteprojmat
Optimal Combination Temporal Reconciliationterec
Temporal Probabilistic Reconciliation (Sample Approach)tesmp
Temporal Top-down Reconciliationtetd
Temporal Reconciliation Toolstetools
Aggregation Matrix of a Balanced Hierarchy in (Possibly) Unbalanced Formunbalance_hierarchy
Australian Tourism Demand Datasetvnaggmat vndata