Optimal non-negative forecast reconciliation
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DOI: 10.1007/s11222-020-09930-0
Abstract: The sum of forecasts of disaggregated time series is often required to equal the forecast of the aggregate, giving a set of coherent forecasts. The least squares solution for finding coherent forecasts uses a reconciliation… read more here.
Keywords: algorithm; reconciliation; coherent forecasts; non negative ... See more keywords