boot_cs {FoReco} | R Documentation |
Cross-sectional Joint Bootstrap
Description
Joint block bootstrap for generating probabilistic base forecasts that take into account the correlation between different time series (Panagiotelis et al. 2023).
Usage
boot_cs(fit, boot_size, h, seed = NULL)
Arguments
fit |
A list of \(n\) base forecast models. It is important to note that the models
must have the |
boot_size |
The number of bootstrap replicates. |
h |
Block size of the bootstrap, which is typically equivalent to the forecast horizon. |
seed |
An integer seed. |
Value
A list with two elements: the seed used to sample the errors and a 3-d array (\(boot\_size\times n \times h\))
References
Panagiotelis, A., Gamakumara, P., Athanasopoulos, G. & Hyndman, R. J. (2023), Probabilistic forecast reconciliation: Properties, evaluation and score optimisation, European Journal of Operational Research 306(2), 693–706.
See Also
Other bootstrap:
boot_ct()
,
boot_te()