Package: FoReco 1.0.0

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. 2023 <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, fnd], Tommaso Di Fonzo [aut, fnd]

FoReco_1.0.0.tar.gz
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FoReco.pdf |FoReco.html✨
FoReco/json (API)
NEWS

# 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

Datasets:

expside - Italian Quarterly National Accounts
gdpconsmat - Italian Quarterly National Accounts
incside - Italian Quarterly National Accounts
itagdp - Italian Quarterly National Accounts
outside - Italian Quarterly National Accounts
vnaggmat - Australian Tourism Demand dataset
vndata - Australian Tourism Demand dataset

On CRAN:

forecasting reconciliation time-series

6.06 score 31 stars 105 scripts 372 downloads 41 exports 6 dependencies

Last updated 3 months agofrom:a13a71fcad. Checks:OK: 7. Indexed: yes.

Target	Result	Date
Doc / Vignettes	OK	Nov 16 2024
R-4.5-win	OK	Nov 16 2024
R-4.5-linux	OK	Nov 16 2024
R-4.4-win	OK	Nov 16 2024
R-4.4-mac	OK	Nov 16 2024
R-4.3-win	OK	Nov 16 2024
R-4.3-mac	OK	Nov 16 2024

Exports:aggts arrange_hres balance_hierarchy commat csboot csbu cscov cslcc csmo csprojmat csrec cstd cstools cstrec ctboot ctbu ctcov ctlcc ctmo ctprojmat ctrec cttd cttools df2aggmat FoReco2matrix iterec lcmat recoinfo res2matrix shrink_estim tcsrec teboot tebu tecov telcc temo teprojmat terec tetd tetools unbalance_hierarchy

Dependencies:cli lattice Matrix osqp R6 Rcpp

Citation

Development and contributors

Readme and manuals

Help Manual

Help page	Topics
FoReco: Forecast Reconciliation	FoReco-package FoReco
Non-overlapping temporal aggregation of a time series	aggts
Aggregation matrix of a (possibly) unbalanced hierarchy in balanced form	balance_hierarchy
Commutation matrix	commat
Cross-sectional joint block bootstrap	csboot
Cross-sectional bottom-up reconciliation	csbu
Cross-sectional covariance matrix approximation	cscov cscov.default cscov.ols cscov.sam cscov.shr cscov.str cscov.wls
Level conditional coherent reconciliation for genuine hierarchical/grouped time series	cslcc
Cross-sectional middle-out reconciliation	csmo
Projection matrix for optimal combination cross-sectional reconciliation	csprojmat
Optimal combination cross-sectional reconciliation	csrec
Cross-sectional top-down reconciliation	cstd
Cross-sectional reconciliation tools	cstools
Cross-temporal joint block bootstrap	ctboot
Cross-temporal bottom-up reconciliation	ctbu
Cross-temporal covariance matrix approximation	ctcov 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 hierarchies	ctlcc
Cross-temporal middle-out reconciliation	ctmo
Projection matrix for optimal combination cross-temporal reconciliation	ctprojmat
Optimal combination cross-temporal reconciliation	ctrec
Cross-temporal top-down reconciliation	cttd
Cross-temporal reconciliation tools	cttools
Cross-sectional aggregation matrix of a dataframe	df2aggmat
Reconciled forecasts to matrix/vector	FoReco2matrix
Italian Quarterly National Accounts	expside gdpconsmat incside itagdp outside
Iterative cross-temporal reconciliation	iterec
Linear combination (aggregation) matrix for a general linearly constrained multiple time series	lcmat
Informations on the reconciliation process	recoinfo
One-step and multi-step residuals	arrange_hres res2matrix
Shrinkage of the covariance matrix	shrink_estim
Heuristic cross-temporal reconciliation	cstrec tcsrec
Temporal joint block bootstrap	teboot
Temporal bottom-up reconciliation	tebu
Temporal covariance matrix approximation	tecov 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 hierarchies	telcc
Temporal middle-out reconciliation	temo
Projection matrix for optimal combination temporal reconciliation	teprojmat
Optimal combination temporal reconciliation	terec
Temporal top-down reconciliation	tetd
Temporal reconciliation tools	tetools
Aggregation matrix of a balanced hierarchy in (possibly) unbalanced form	unbalance_hierarchy
Australian Tourism Demand dataset	vnaggmat vndata