Efficient probabilistic reconciliation of forecasts for real-valued and count time series

DOI10.48550/arXiv.2210.02286zbMath1529.62043arXiv2210.02286OpenAlexW4388124552MaRDI QIDQ160068

Dario Filippo Azzimonti, Lorenzo Zambon, Giorgio Corani, Lorenzo Zambon

Publication date: 5 October 2022

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2210.02286

zbMATH Keywords

importance samplingforecast reconciliationtemporal hierarchiesprobabilistic reconciliation

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical sampling theory and related topics (62D99)

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Cites Work

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