Takes forecasts of time series at all levels of temporal aggregation and combines them using the temporal hierarchical approach of Athanasopoulos et al (2016).

reconcilethief(forecasts, comb = c("struc", "mse", "ols", "bu", "shr", "sam"),
  mse = NULL, residuals = NULL, returnall = TRUE, aggregatelist = NULL)

Arguments

forecasts

List of forecasts. Each element must be a time series of forecasts, or a forecast object. The number of forecasts should be equal to k times the seasonal period for each series, where k is the same across all series.

comb

Combination method of temporal hierarchies, taking one of the following values:

"struc"

Structural scaling - weights from temporal hierarchy

"mse"

Variance scaling - weights from in-sample MSE

"ols"

Unscaled OLS combination weights

"bu"

Bottom-up combination -- i.e., all aggregate forecasts are ignored.

"shr"

GLS using a shrinkage (to block diagonal) estimate of residuals

"sam"

GLS using sample covariance matrix of residuals

mse

A vector of one-step MSE values corresponding to each of the forecast series.

residuals

List of residuals corresponding to each of the forecast models. Each element must be a time series of residuals. If forecast contains a list of forecast objects, then the residuals will be extracted automatically and this argument is not needed. However, it will be used if not NULL.

returnall

If TRUE, a list of time series corresponding to the first argument is returned, but now reconciled. Otherwise, only the most disaggregated series is returned.

aggregatelist

(optional) User-selected list of forecast aggregates to consider

Value

List of reconciled forecasts in the same format as forecast. If returnall==FALSE, only the most disaggregated series is returned.

See also

thief, tsaggregates

Examples

# Construct aggregates aggts <- tsaggregates(USAccDeaths) # Compute forecasts fc <- list() for(i in seq_along(aggts)) fc[[i]] <- forecast(auto.arima(aggts[[i]]), h=2*frequency(aggts[[i]])) # Reconcile forecasts reconciled <- reconcilethief(fc) # Plot forecasts before and after reconcilation par(mfrow=c(2,3)) for(i in seq_along(fc)) { plot(reconciled[[i]], main=names(aggts)[i]) lines(fc[[i]]$mean, col='red') }