This package presents functions to create, plot and forecast hierarchical and grouped time series. In forecasting hierarchical and grouped time series, the base methods implemented include ETS, ARIMA and the naive (random walk) models. Forecasts for grouped time series are calibrated using bottom-up and optimal combination methods. Forecasts for hierarchical time series are distributed in the hierarchy using bottom-up, top-down, middle-out and optimal combination methods. Three top-down methods are available: the two Gross-Sohl methods and the forecast-proportion approach of Hyndman, Ahmed, and Athanasopoulos (2011).
● Data Source:
CranContrib
● Keywords: package
● Alias: hts-package
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window.gts
(Package: hts) :
Time window of a gts object
Extracts a subset of the time series from a grouped time series object.
● Data Source:
CranContrib
● Keywords: ts
● Alias: window.gts
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aggts
(Package: hts) :
Extract selected time series from a gts object
The time series from selected levels of a hierarchical/grouped time series or a forecasted hierarchical/grouped time series are returned as a multivariate time series.
● Data Source:
CranContrib
● Keywords: ts
● Alias: aggts
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hts
(Package: hts) :
Create a hierarchical time series
Method for creating hierarchical time series.
● Data Source:
CranContrib
● Keywords: ts
● Alias: hts
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Returns a range of summary measures of the forecast accuracy. The function measures out-of-sample forecast accuracy based on (holdout data - forecasts) and in-sample accuracy at the bottom level when setting keep.fitted = TRUE in the forecast.gts . All measures are defined and discussed in Hyndman and Koehler (2006).
● Data Source:
CranContrib
● Keywords: error
● Alias: accuracy.gts
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gts
(Package: hts) :
Create a grouped time series
Method for creating grouped time series.
● Data Source:
CranContrib
● Keywords: ts
● Alias: gts, print.gts, summary.gts
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smatrix
(Package: hts) :
Summing matrix for hierarchical or grouped time series
This function returns the summing matrix for a hierarchical or grouped time series, as defined in Hyndman et al. (2011).
● Data Source:
CranContrib
● Keywords: ts
● Alias: smatrix
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combinef
(Package: hts) :
Optimally combine forecasts from a hierarchical or grouped time series
Using the method of Hyndman et al. (2011), this function optimally combines the forecasts at all levels of a hierarchical time series. The forecast.gts calls this function when the comb method is selected.
● Data Source:
CranContrib
● Keywords: ts
● Alias: combinef
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forecast.gts
(Package: hts) :
Forecast a hierarchical or grouped time series
Methods for forecasting hierarchical or grouped time series.
● Data Source:
CranContrib
● Keywords: ts
● Alias: forecast.gts, forecast.hts
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plot.gts
(Package: hts) :
Plot grouped or hierarchical time series
Method for plotting grouped or hierarchical time series and their forecasts.
● Data Source:
CranContrib
● Keywords: hplot
● Alias: plot.gts
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