ctf_tools {FoReco} | R Documentation |
Cross-temporal reconciliation tools
Description
Some useful tools for the cross-temporal forecast reconciliation of a linearly constrained (hierarchical/grouped) multiple time series.
Usage
ctf_tools(C, m, h = 1, Ut, nb, sparse = TRUE)
Arguments
C |
(\(n_a \times n_b\)) cross-sectional (contemporaneous) matrix mapping the bottom level series into the higher level ones. |
m |
Highest available sampling frequency per seasonal cycle (max. order of temporal aggregation, \(m\)), or a subset of the \(p\) factors of \(m\). |
h |
Forecast horizon for the lowest frequency (most temporally aggregated) time
series (default is |
Ut |
Zero constraints cross-sectional (contemporaneous) kernel matrix
\((\mathbf{U}'\mathbf{y} = \mathbf{0})\) spanning the null space valid
for the reconciled forecasts. It can be used instead of parameter
|
nb |
Number of bottom time series; if |
sparse |
Option to return sparse object (default is |
Value
ctf list with:
Ht |
Full row-rank cross-temporal zero constraints (kernel) matrix coherent with \(\mathbf{y} = \mbox{vec}(\mathbf{Y}')\): \(\mathbf{H}'\mathbf{y} = \mathbf{0}\). |
Hbrevet |
Complete, not full row-rank cross-temporal zero constraints (kernel) matrix coherent with \(\mathbf{y} = \mbox{vec}(\mathbf{Y}')\): \(\breve{\mathbf{H}}'\mathbf{y} = \mathbf{0}\). |
Hcheckt |
Full row-rank cross-temporal zero constraints (kernel) matrix coherent with \(\check{\mathbf{y}}\) (structural representation): \(\check{\mathbf{H}}' \check{\mathbf{y}} = \mathbf{0}\). |
Ccheck |
Cross-temporal aggregation matrix \(\check{\mathbf{C}}\) coherent with \(\check{\mathbf{y}}\) (structural representation). |
Scheck |
Cross-temporal summing matrix \(\check{\mathbf{S}}\) coherent with \(\check{\mathbf{y}}\) (structural representation). |
Fmat |
Cross-temporal summing matrix \(\widetilde{\mathbf{F}}\) coherent with \(\mathbf{y} = \mbox{vec}(\mathbf{Y}')\). |
hts list from hts_tools
.
thf list from thf_tools
.
See Also
Other utilities:
Cmatrix()
,
FoReco2ts()
,
agg_ts()
,
arrange_hres()
,
commat()
,
hts_tools()
,
lcmat()
,
oct_bounds()
,
residuals_matrix()
,
score_index()
,
shrink_estim()
,
thf_tools()
Examples
# One level hierarchy (na = 1, nb = 2) with quarterly data
obj <- ctf_tools(C = matrix(c(1, 1), 1), m = 4)