FoReco
Forecast Reconciliation
Classical (bottom-up and top-down), optimal combination and heuristic
point (Di Fonzo and Girolimetto, 2023
FoReco 
Forecast Reconciliation is a a post-forecasting process aimed to improve the accuracy and align forecasts for a system of linearly constrained (e.g. hierarchical/grouped) time series. The FoReco package provides a comprehensive set of classical (bottom-up, top-down and middle-out), and modern (optimal and heuristic combination) forecast reconciliation procedures in different frameworks including cross-sectional, temporal, or cross-temporal settings.
The core functions for reconciliation categorized by framework are as follows:
| Reconciliation | Cross-sectional | Temporal | Cross-Temporal |
|---|---|---|---|
| Classical reconciliation | |||
Top-down: *td() |
cstd() |
tetd() |
cttd() |
Bottom-up: *bu() |
csbu() |
tebu() |
ctbu() |
Middle-out: *mo() |
csmo() |
temo() |
ctmo() |
| Regression‑based reconciliation | |||
Least squares: *rec() |
csrec() |
terec() |
ctrec() |
LCC: *lcc() |
cslcc() |
telcc() |
ctlcc() |
| Probabilistic reconciliation | |||
MVN: *mvn() |
csmvn() |
temvn() |
ctmvn() |
Sample-based: *smp() |
cssmp() |
tesmp() |
ctsmp() |
Additionally, FoReco provides various functions for different aspects
of forecast reconciliation, including aggregating time series, balancing
hierarchies, computing projection and covariance matrices, and more.
Installation
You can install the stable version on CRAN
install.packages("FoReco")
You can also install the development version from Github
# install.packages("devtools")
devtools::install_github("danigiro/FoReco")
Getting Started
To get started with using the FoReco package, refer to the
documentation for detailed
information on how to apply different forecast reconciliation procedures
to your data.
Issues and Contributions
If you encounter any bugs or have suggestions for improvements, please feel free to report them on GitHub Issues page. Contributions are also welcome!