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Optimal forecast reconciliation for hierarchical and grouped time series through trace minimization

journal contribution

posted on 2022-11-09, 02:47 authored by Shanika L. Wickramasuriya, George Athanasopoulos, Rob J. Hyndman

Large collections of time series often have aggregation constraints due to product or geographical

History

Classification-JEL

--

Creation date

2017-12-23

Working Paper Series Number

22/17

Length

44 pp

File-Format

application/pdf

Handle

RePEc:msh:ebswps:2017-22

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Keywords

Aggregation Australian tourism Coherent forecasts contemporaneous error correlation forecast combinations spatial correlations.

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