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) < https://www.monash.edu/business/ebs/research/publications/ebs/wp26-2020.pdf> for a description of the methods.


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install.packages("ProbReco")

0.1.0.1 by Anastasios Panagiotelis, 2 months ago


https://github.com/anastasiospanagiotelis/ProbReco


Report a bug at https://github.com/anastasiospanagiotelis/ProbReco/issues


Browse source code at https://github.com/cran/ProbReco


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