hts_tools {FoReco} | R Documentation |
Cross-sectional reconciliation tools
Description
Some useful tools for the cross-sectional forecast reconciliation of a linearly constrained (e.g., hierarchical/grouped) multiple time series.
Usage
hts_tools(C, 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. |
h |
Forecast horizon (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 matrices (default is |
Value
A list of five elements:
C |
(\(n \times n_b\)) cross-sectional (contemporaneous) aggregation matrix. |
S |
(\(n \times n_b\)) cross-sectional (contemporaneous) summing matrix, \(\mathbf{S} = \left[\begin{array}{c} \mathbf{C} \cr \mathbf{I}_{n_b}\end{array}\right].\) |
Ut |
(\(n_a \times n\)) zero constraints cross-sectional (contemporaneous) kernel matrix. If the hierarchy admits a structural representation \(\mathbf{U}' = [\mathbf{I} \ -\mathbf{C}]\) |
n |
Number of variables \(n_a + n_b\). |
na |
Number of upper level variables. |
nb |
Number of bottom level variables. |
See Also
Other utilities:
Cmatrix()
,
FoReco2ts()
,
agg_ts()
,
arrange_hres()
,
commat()
,
ctf_tools()
,
lcmat()
,
oct_bounds()
,
residuals_matrix()
,
score_index()
,
shrink_estim()
,
thf_tools()
Examples
# One level hierarchy (na = 1, nb = 2)
obj <- hts_tools(C = matrix(c(1, 1), 1), sparse = FALSE)