FoReco 1.1.0

New Features

• Added new bpv non-negative forecast reconciliation algorithm (experimental) based on the cross-sectional framework presented in Wickramasuriya et al. (2020) and, now, extended for the temporal and cross-temporal framework:
  • Wickramasuriya, S. L., Turlach, B. A., and Hyndman, R. J. (2020), "Optimal non-negative forecast reconciliation", Statistics and Computing, 30(5), 1167–1182. doi:10.1007/s11222-020-09930-0;
• New oasd cross-sectional covariance matrix (experimental), implementing an oracle shrunk covariance estimation (Ando and Xiao, 2023):
  • Ando, S., and Xiao, M. (2023), "High-dimensional covariance matrix estimation: shrinkage toward a diagonal target", IMF Working Papers, 2023(257), A001;
• Redesigned bounds parameter to enable bounded forecast reconciliation for csrec(), terec(), and ctrec() functions;
• Introduced new set_bounds() function to define custom bounds for reconciliation.

Bug Fixes

• Fixed bug when only a subset of agg_order factors was selected in iterec(), tcsrec(), and cstrec() functions.