R Graphical Manual

Last data update: 2014.03.03

R: Prediction conciliation by projection.

proj	R Documentation

Prediction conciliation by projection.

Uses a simple L2 projection to reconciliate hierarchical time series forecasts.

proj(preds_indiv, pred_total, weights_indiv, weight_total)

`preds_indiv`	: K-length vector with predictions ybar_1,...,ybar_K for individual regions
`pred_total`	: number with prediction ybar_* for the total consumption
`weights_indiv`	: K-length vector with weights a_1,...,a_K for individual regions
`weight_total`	: number with weight a_* for the total consumption

A vector with the reconciliated predictions for the individuals and the total.

K <- 5
proj(preds_indiv = rep(0, K), 1,
     weights_indiv = rep(1, K),
     weight_total = 2)