相关论文: Point and probabilistic forecast reconciliation fo…

We propose to estimate the weight matrix used for forecast reconciliation as parameters in a general linear model in order to quantify its uncertainty. This implies that forecast reconciliation can be formulated as an orthogonal projection…

The practical importance of coherent forecasts in hierarchical forecasting has inspired many studies on forecast reconciliation. Under this approach, so-called base forecasts are produced for every series in the hierarchy and are…

In numerous applications, it is required to produce forecasts for multiple time-series at different hierarchy levels. An obvious example is given by the supply chain in which demand forecasting may be needed at a store, city, or country…

Point forecast reconciliation of collection of time series with linear aggregation constraints has evolved substantially over the last decade. A few commonly used methods are GLS (generalized least squares), OLS (ordinary least squares),…

In this paper, we explore the application of Gaussian Processes (GPs) for predicting mean-reverting time series with an underlying structure, using relatively unexplored functional and augmented data structures. While many conventional…

This paper presents a formal framework and proposes algorithms to extend forecast reconciliation to discrete-valued data to extend forecast reconciliation to discrete-valued data, including low counts. A novel method is introduced based on…

We examine the problem of making reconciled forecasts of large collections of related time series through a behavioural/Bayesian lens. Our approach explicitly acknowledges and exploits the 'connectedness' of the series in terms of…

This paper discusses the prediction of hierarchical time series, where each upper-level time series is calculated by summing appropriate lower-level time series. Forecasts for such hierarchical time series should be coherent, meaning that…

Aggregated curves are common structures in economics and finance, and the most prominent examples are supply and demand curves. In this study, we exploit the fact that all aggregated curves have an intrinsic hierarchical structure, and thus…

Forecast reconciliation has attracted significant research interest in recent years, with most studies taking the hierarchy of time series as given. We extend existing work that uses time series clustering to construct hierarchies, with the…

Time series often appear in an additive hierarchical structure. In such cases, time series on higher levels are the sums of their subordinate time series. This hierarchical structure places a natural constraint on forecasts. However,…

Hierarchical forecasting methods have been widely used to support aligned decision-making by providing coherent forecasts at different aggregation levels. Traditional hierarchical forecasting approaches, such as the bottom-up and top-down…

In hierarchical forecasting, the process of forecast reconciliation transforms a set of "base" or "raw" forecasts, which do not satisfy the hierarchical aggregation constraints in the real data, into a set of "coherent" forecasts, which do…

Machine learning predictions are typically interpreted as the sum of contributions of predictors. Yet, each out-of-sample prediction can also be expressed as a linear combination of in-sample values of the predicted variable, with weights…

A novel framework for hierarchical forecast updating is presented, addressing a critical gap in the forecasting literature. By assuming a temporal hierarchy structure, the innovative approach extends hierarchical forecast reconciliation to…

Optimal decision-making compels us to anticipate the future at different horizons. However, in many domains connecting together predictions from multiple time horizons and abstractions levels across their organization becomes all the more…

Multivariate time series forecasting with hierarchical structure is pervasive in real-world applications, demanding not only predicting each level of the hierarchy, but also reconciling all forecasts to ensure coherency, i.e., the forecasts…

Hierarchical forecasting with reconciliation requires forecasting values of a hierarchy (e.g.~customer demand in a state and district), such that forecast values are linked (e.g.~ district forecasts should add up to the state forecast).…

Platform businesses operate on a digital core and their decision making requires high-dimensional accurate forecast streams at different levels of cross-sectional (e.g., geographical regions) and temporal aggregation (e.g., minutes to…

Forecast reconciliation has become a prominent topic in recent forecasting literature, with a primary distinction made between cross-sectional and temporal hierarchies. This work focuses on temporal hierarchies, such as aggregating monthly…