Game-Theoretically OPtimal (GTOP) Reconciliation Method

In hierarchical time series (HTS) forecasting, the hierarchical relation between multiple time series is exploited to make better forecasts. This hierarchical relation implies one or more aggregate consistency constraints that the series are known to satisfy. Many existing approaches, like for example bottom-up or top-down forecasting, therefore attempt to achieve this goal in a way that guarantees that the forecasts will also be aggregate consistent. This package provides with an implementation of the Game-Theoretically OPtimal (GTOP) reconciliation method proposed in van Erven and Cugliari (2015), which is guaranteed to only improve any given set of forecasts. This opens up new possibilities for constructing the forecasts. For example, it is not necessary to assume that bottom-level forecasts are unbiased, and aggregate forecasts may be constructed by regressing both on bottom-level forecasts and on other covariates that may only be available at the aggregate level.


gtop 0.1

  • start developement

Reference manual

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0.2.0 by Jairo Cugliari, 7 years ago

Browse source code at

Authors: Jairo Cugliari , Tim van Erven

Documentation:   PDF Manual  

Task views: Time Series Analysis

GPL-2 | GPL-3 license

Depends on hts, quadprog, lassoshooting

See at CRAN