gtop

Package: gtop
Type: Package
Title: Game-Theoretically OPtimal (GTOP) Reconciliation Method
Version: 0.2.0
Date: 2015-01-23
Author: Jairo Cugliari, Tim van Erven
Maintainer: Jairo Cugliari <Jairo.Cugliari@univ-lyon2.fr>
Description: 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.
License: GPL-2 | GPL-3
Depends: hts, quadprog, lassoshooting
Packaged: 2015-03-05 06:33:35 UTC; jairo
NeedsCompilation: no
Repository: CRAN
Date/Publication: 2015-03-05 07:40:24

Install log

* installing to library '/home/ddbj/local/lib64/R/library'
* installing *source* package 'gtop' ...
** package 'gtop' successfully unpacked and MD5 sums checked
** R
** inst
** preparing package for lazy loading
** help
*** installing help indices
  converting help for package 'gtop'
    finding HTML links ... done
    gtop                                    html  
    hts                                     html  
    proj                                    html  
** building package indices
** testing if installed package can be loaded
* DONE (gtop)
Making 'packages.html' ... done