Fast computation of reconciled forecasts for hierarchical and grouped time series

DOI10.1016/j.csda.2015.11.007zbMath1468.62086OpenAlexW2096571934WikidataQ58297360 ScholiaQ58297360MaRDI QIDQ1659352

Rob Hyndman, Earo Wang, Alan J. Lee

Publication date: 15 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: http://business.monash.edu/econometrics-and-business-statistics/research/publications/ebs/wp17-14.pdf

zbMATH Keywords

combining forecastsweighted least squaresreconciling forecastsgrouped time serieshierarchical time series

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)

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Uses Software

• LSQR
• forecast
• SPARSKIT
• Forecast
• SparseM
• expsmooth
• hts
• CRAIG

Cites Work

• Optimal combination forecasts for hierarchical time series
• Forecasting with exponential smoothing. The state space approach
• LSQR: An Algorithm for Sparse Linear Equations and Sparse Least Squares
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