Coherent Probabilistic Forecasts for Hierarchical Time Series

journal contribution

posted on 2022-11-09, 02:40 authored by Souhaib Ben Taieb, James W. Taylor, Rob J. Hyndman

Many applications require forecasts for a hierarchy comprising a set of time series along with aggregates of subsets of these series.

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Classification-JEL

C53, Q47, C32

Creation date

2017-04-14

Working Paper Series Number

3/17

Length

21

File-Format

application/pdf

Handle

RePEc:msh:ebswps:2017-3

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Keywords

forecast combination probabilistic forecast copula machine learning.

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