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Di Fonzo, Tommaso and Girolimetto, Daniele (2020) Cross-temporal forecast reconciliation: Optimal combination methods and heuristic alternatives. [Working Paper] WORKING PAPER SERIES, 8/2020 . (Inedito)

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Abstract (italian or english)

Forecast reconciliation is a post-forecasting process aimed to improve the quality of the base forecasts for a system of hierarchical/grouped time series (Hyndman et al., 2011). Contemporaneous (cross-sectional) and temporal hierarchies have been considered in the literature, but - except for Kourentzes and Athanasopoulos (2019) - generally these two features have not been fully considered together. Adopting a notation able to simultaneously deal with both forecast reconciliation dimensions, the paper shows two new results: (i) an iterative cross-temporal forecast reconciliation procedure which extends, and overcomes some weaknesses of, the two-step procedure by Kourentzes and Athanasopoulos (2019), and (ii) the closed-form expression of the optimal (in least squares sense) point forecasts which fulfill both contemporaneous and temporal constraints. The feasibility of the proposed procedures, along with first evaluations of their performance as compared to the most performing `single dimension' (either cross-sectional or temporal) forecast reconciliation procedures, is studied through a forecasting experiment on the 95 quarterly time series of the Australian GDP from Income and Expenditure sides considered by Athanasopoulos et al. (2019).

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EPrint type:Working Paper
Anno di Pubblicazione:June 2020
Key Words:Cross-temporal forecast reconciliation, Optimal combination, Heuristics, Hierarchical and Grouped Time Series, Quarterly Australian GDP, Income and Expenditure sides
Settori scientifico-disciplinari MIUR:Area 13 - Scienze economiche e statistiche > SECS-S/03 Statistica economica
Struttura di riferimento:Dipartimenti > Dipartimento di Scienze Statistiche
Codice ID:12959
Depositato il:17 Jul 2020 12:40
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