Score Optimal Probabilistic Forecast Reconciliation

Training of reconciliation weights for probabilistic forecasts to optimise total energy (or variogram) score using Stochastic Gradient Descent with automatically differentiated gradients. See Panagiotelis, Gamakumara, Athanasopoulos and Hyndman, (2020) <> for a description of the methods.


Reference manual

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install.packages("ProbReco") by Anastasios Panagiotelis, a year ago

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Authors: Anastasios Panagiotelis [aut, cre]

Documentation:   PDF Manual  

Task views: Time Series Analysis

GPL-3 license

Imports Rcpp, purrr, mvtnorm, Rdpack

Suggests knitr, rmarkdown, fable, dplyr, tidyr, magrittr, stringi

Linking to Rcpp, RcppEigen, StanHeaders, BH

See at CRAN