Degenerate Hierarchical Time Series Reconciliation.

htsDegenerateR

htsDegenerateR adapts the original hts library implementation of the trace minimization algorithm originally proposed by Wickramasuriya et al..

This library can be installed using:

devtools::install_github("lsteinmeister/htsDegenerateR“)

For more details, see Steinmeister et al..

Citation

Please cite this library as follows:

Steinmeister, L., & Pauly, M. (2024). Degenerate Hierarchical Time Series Reconciliation With The Minimum Trace Algorithm in R. In D. Herberger & M. Hübner (Eds.), Proceedings of the Conference on Production Systems and Logistics: CPSL. publish-Ing. https://doi.org/https://doi.org/10.15488/17729

References

Steinmeister, L., & Pauly, M. (2024). Degenerate Hierarchical Time Series Reconciliation With The Minimum Trace Algorithm in R. In D. Herberger & M. Hübner (Eds.), Proceedings of the Conference on Production Systems and Logistics: CPSL. publish-Ing. https://doi.org/https://doi.org/10.15488/17729

Wickramasuriya, S. L., Athanasopoulos, G., & Hyndman, R. J. (2019). Optimal Forecast Reconciliation for Hierarchical and Grouped Time Series Through Trace Minimization. Journal of the American Statistical Association, 114(526), 804–819. https://doi.org/10.1080/01621459.2018.1448825