csbu {FoReco} | R Documentation |
Cross-sectional bottom-up reconciliation
Description
This function computes the cross-sectional bottom-up reconciled forecasts
(Dunn et al., 1976) for all series by appropriate summation of the bottom
base forecasts \widehat{\mathbf{b}}
:
\widetilde{\mathbf{y}} = \mathbf{S}_{cs}\widehat{\mathbf{b}},
where \mathbf{S}_{cs}
is the cross-sectional structural matrix.
Usage
csbu(base, agg_mat, sntz = FALSE)
Arguments
base |
A ( |
agg_mat |
A ( |
sntz |
If |
Value
A (h \times n
) numeric matrix of cross-sectional reconciled forecasts.
References
Dunn, D. M., Williams, W. H. and Dechaine, T. L. (1976), Aggregate versus subaggregate models in local area forecasting, Journal of the American Statistical Association 71(353), 68–71. doi:10.1080/01621459.1976.10481478
See Also
Bottom-up reconciliation:
ctbu()
,
tebu()
Cross-sectional framework:
csboot()
,
cscov()
,
cslcc()
,
csmo()
,
csrec()
,
cstd()
,
cstools()
Examples
set.seed(123)
# (3 x 2) bottom base forecasts matrix (simulated), Z = X + Y
bts <- matrix(rnorm(6, mean = c(10, 10)), 3, byrow = TRUE)
# Aggregation matrix for Z = X + Y
A <- t(c(1,1))
reco <- csbu(base = bts, agg_mat = A)
# Non negative reconciliation
bts[2,2] <- -bts[2,2] # Making negative one of the base forecasts for variable Y
nnreco <- csbu(base = bts, agg_mat = A, sntz = TRUE)