Releases: danigiro/FoReco
Releases · danigiro/FoReco
FoReco 0.2.6
Major changes: probabilistic forecast reconciliation
- Added
boot_cs()
,boot_te()
andboot_ct()
to draw samples from, respectively, cross-sectional, temporal and cross-temporal joint (block) bootstrap.
Minor changes
- Fixed deprecation warnings in Matrix (v. 1.5-0);
- Improved docs and bug fixes;
- Fixed
ctbu()
inputs; - Added
FoReco2matrix()
to trasform FoReco forecasts input and output in a list of matrix/vector class; - Added
agg_ts()
: non-overlapping temporal aggregation of a time series according to a specific aggregation order. - Added
arrange_hres()
andresiduals_matrix()
functions to arrange residuals for the covariance matrix under Gaussianity;
FoReco 0.2.5
Minor changes
- Fixed the not negative reconciliation "sntz" for
octrec()
; - Fixed documentation.
FoReco 0.2.4
Major changes
- Added
lcmat()
function.
Minor changes
- Fixed BU approach when the number of columns of basef is equal to the number of bottom time series
htsrec()
; - Fixed
score_index()
; - Fixed the
bounds
param whentype = "S"
inhtsrec()
,thfrec()
andoctrec()
; - Add the possibility to fix base forecasts through the
v
param inhtsrec()
,thfrec()
andoctrec()
- experimental; - Add two new type of optimal cross-temporal reconciliation (cs_struc and t_struc);
- Improved docs and bug fixes.
FoReco 0.2.1
Minor changes
- Fixed a bug in the output of
lccrec()
(now the function returns the Level Conditional Coherent or the Combined Conditional Coherent forecasts); - Fixed the not negative reconciliation "KAnn" when
keep = "list"
.
FoReco 0.2.0
Major changes
- It's possible to use a subset of factors of m (max. order of temporal aggregation);
- Added the possibility for
htsrec()
,thfrec()
andoctrec()
to introduce a list of h covariance matrices in the parametersW
andOmega
, where h stands for the forecast horizon (note that forthfrec()
andoctrec()
this is the forecast horizon of the entire cycle); - Param
Sstruc
is no more avaible inoctrec()
andctf_tools()
. FoReco uses a fast algorithm to compute Scheck, so no external input is needed; - Modified output of
ctf_tools()
(addedCcheck
,Htcheck
,Scheck
, removedCstruc
,Sstruc
),hts_tools()
(addedC
) andthf_tools()
(addedm
); - Added two new not negative reconciliation techniques ("KAnn" and "sntz") with a new parameter (
nn_type
) inhtsrec()
,thfrec()
andoctrec()
; - Added the top-down reconciliation function
tdrec()
; - Added the level conditional forecast reconciliation (with and without not-negative constraints) for genuine hierarchical/grouped time series
levrec()
(cross-sectional, temporal and cross-temporal).
Minor changes
- Now in
octrec()
it is also possible to introduce the Ω covariance matrix variant through theOmega
parameter and not only the W variant with theW
parameter; - Updated
tcsrec()
,cstrec()
anditerec()
. In the iterec function themaxit
parameter has been replaced byitmax
, however for the momentmaxit
is still supported; - Now FoReco removes null rows from the cross-sectional aggregation matrix C and it warns the user if the balanced version of an unbalanced hierarchy is considering duplicated variables;
- Redesigned the console output and added a new convergence norm as default for
iterec()
(norm
parameter).
Experimental
- Add the possibility to introduce constraints through the
bounds
param inhtsrec()
,thfrec()
andoctrec()
; - Add a function
oct_bounds()
to organize the bounds on a specific dimension (i.e. only cross-sectional or only temporal) in a cross-temporal framework; - Added
ut2c()
andsrref()
to develop a cross-sectional structural representation starting from a zero constraints kernel matrix; - Added in
score_index()
the calculation of multiple forecast horizons index (like 1:6) and multiple cross-sectional levels for a forecasting experiment.
FoReco 0.1.1
This is a small release focusing on fixing some bugs and the documentation
- Fixed a bug in
iterec()
when calculating incoherence - Fixed documentation
- Changed the contact mail (now it's daniele.girolimetto@phd.unipd.it)
- Corrected the second section of the vignette "
Average relative accuracy indices
"
FoReco 0.1.0
- Release on github