M5_CA1_basefc {bayesRecon} | R Documentation |
Example of hierarchical forecasts for a store from the M5 competition
Description
This dataset contains forecasts for the hierarchy of time series related to the store CA_1
from the M5 competition.
Usage
M5_CA1_basefc
Format
A list containing:
-
upper
: a list of 11 elements each representing an aggregation level. Each element contains:mu
,sigma
the mean and standard deviation of the Gaussian forecast,actual
the actual value,residuals
the residuals of the model used to estimate forecasts covariance. -
lower
: a list of 3049 elements each representing a forecast for each item. Each element containspmf
the probability mass function of the item level forecast,actual
the actual value. -
A
: the aggregation matrix for A. -
S
: the S matrix for the hierarchy. -
Q_u
: scaling factors for computing MASE on the upper forecasts. -
Q_b
: scaling factors for computing MASE on the bottom forecasts.
Details
The store CA_1
contains 3049 item level time series and 11 aggregate time series:
Store level aggregation (
CA_1
)Category level aggregations (
HOBBIES
,HOUSEHOLD
,FOODS
)Department level aggregations (
HOBBIES_1
,HOBBIES_2
,HOUSEHOLD_1
,HOUSEHOLD_2
,FOODS_1
,FOODS_2
,FOODS_3
)
Forecasts are generated with the function forecast
and the model adam
from the package smooth
.
The models for the bottom time series are selected with multiplicative Gamma error term (
MNN
);The models for the upper time series (
AXZ
) is selected with Gaussian additive error term, seasonality selected based on information criterion.
The raw data was downloaded with the package m5
.
Source
Makridakis, Spyros & Spiliotis, Evangelos & Assimakopoulos, Vassilis. (2020). The M5 Accuracy competition: Results, findings and conclusions. International Journal of Forecasting 38(4) 1346-1364. doi:10.1016/j.ijforecast.2021.10.009
References
Joachimiak K (2022). m5: 'M5 Forecasting' Challenges Data. R package version 0.1.1, https://CRAN.R-project.org/package=m5.
Makridakis, Spyros & Spiliotis, Evangelos & Assimakopoulos, Vassilis. (2020). The M5 Accuracy competition: Results, findings and conclusions. International Journal of Forecasting 38(4) 1346-1364. doi:10.1016/j.ijforecast.2021.10.009
Svetunkov I (2023). smooth: Forecasting Using State Space Models. R package version 4.0.0, https://CRAN.R-project.org/package=smooth.