boot_te {FoReco}

Temporal Joint Bootstrap

Description

Joint block bootstrap for generating probabilistic base forecasts that take into account the correlation between different temporal aggregation order (Girolimetto et al. 2023).

Usage

boot_te(fit, boot_size, m, h = 1, seed = NULL)

Arguments

fit

A list of \((k^\ast+m)\) base forecast models ordered as [lowest_freq' ... highest_freq']'. It is important to note that the models must have the simulate() function available and implemented as with the package forecast, with the following mandatory parameters: object, innov, future, and nsim.

boot_size

The number of bootstrap replicates.

m

Highest available sampling frequency per seasonal cycle (max. order of temporal aggregation, \(m\)), or a subset of \(p\) factors of \(m\).

h

Forecast horizon for the most temporally aggregated series.

seed

An integer seed.

Value

A list with two elements: the seed used to sample the errors and a (\(boot\_size\times h(k^\ast+m)\)) matrix

References

Girolimetto, D., Athanasopoulos, G., Di Fonzo, T., & Hyndman, R. J. (2023), Cross-temporal Probabilistic Forecast Reconciliation, doi:10.48550/arXiv.2303.17277.

See Also

Other bootstrap: boot_cs(), boot_ct()