Minimum trace forecast reconciliation

Reconciles a hierarchy using the minimum trace combination method. The response variable of the hierarchy must be aggregated using sums. The forecasted time points must match for all series in the hierarchy (caution: this is not yet tested for beyond the series length).

min_trace(
  models,
  method = c("wls_var", "ols", "wls_struct", "mint_cov", "mint_shrink"),
  sparse = NULL
)

Arguments

models

A column of models in a mable.

method

The reconciliation method to use.

sparse

If TRUE, the reconciliation will be computed using sparse matrix algebra? By default, sparse matrices will be used if the MatrixM package is installed.

References

Wickramasuriya, S. L., Athanasopoulos, G., & Hyndman, R. J. (2019). Optimal forecast reconciliation for hierarchical and grouped time series through trace minimization. Journal of the American Statistical Association, 1-45. https://doi.org/10.1080/01621459.2018.1448825

See also

reconcile(), aggregate_key()