FoReco 1.0.0

Note – The latest release of FoReco introduces significant changes to its function notation and adds several new features. This major update, FoReco 1.0, is not compatible with previous versions due to the substantial changes made to the package’s core structure. The previous version is available on Github (docs).

Due to the significant changes in FoReco 1.0, users are advised to carefully review the updated documentation and examples before using the new version. The latest documentation and release notes are available on danigiro.github.io/FoReco/

• Updated Function Notation: All functions related to cross-sectional, temporal, and cross-temporal frameworks now use the prefixes cs, te, and ct, respectively. For example, the optimal combination reconciliation functions are now csrec(), terec(), and ctrec().

• Simplified Function Outputs: Reconciliation functions now return only matrices. Additional information can be accessed using attr(., "FoReco") or the recoinfo() function.

• New Datasets: Two new datasets, itagdp (Italian Quarterly National Accounts) and vndata (Australian Tourism Demand), are included along with their respective aggregation or constraint matrices.

• Classic Approach: The middle-out approach (csmo(), temo(), and ctmo()) has been implemented alongside the classic bottom-up (csbu(), tebu(), and ctbu()) and top-down (cstd(), tetd(), and cttd()) methods.

• Level Conditional Coherent Reconciliation: Level conditional coherent reconciliation is now available for all constraints: cslcc() (cross-sectional), telcc() (temporal), and ctlcc() (cross-temporal).

• Immutable reconciliation: The immutable() parameter has been added to the reconciliation functions (csrec(), terec(), and ctrec()) to prevent the base forecasts from being modified with both the structural (approach='strc') and the zero-constrained (approach='proj') approach.

• Balanced and unbalanced hierarchy: added balance_hierarchy() and unbalance_hierarchy() for dealing with balanced and unbalanced hierarchies.

• Projection Matrix Functions: Functions csprojmat(), teprojmat(), and ctprojmat() have been added to obtain projection matrices.

• Covariance Matrix Functions: Functions cscov(), tecov(), and ctcov() have been added to obtain covariance matrices.

• Function Renaming: Several functions have been renamed to improve consistency and clarity

  • Cmatrix() -> df2aggmat()
  • hts_tools() -> cstools()
  • thf_tools() -> tetools()
  • ctf_tools() -> cttools()
  • agg_ts() -> aggts()
  • residuals_matrix() -> res2matrix()
  • boot_cs() -> csboot()
  • boot_te() -> teboot()
  • boot_ct() -> ctboot()
  • htsrec() -> csrec()
  • thfrec() -> terec()
  • octrec() -> ctrec()
  • lccrec() -> cslcc()

FoReco 0.2.6

Major changes: probabilistic forecast reconciliation

• Added boot_cs(), boot_te() and boot_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 transform 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() and residuals_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 when type = "S" in htsrec(), thfrec() and octrec();
• Add the possibility to fix base forecasts through the v param in htsrec(), thfrec() and octrec() - experimental;
• Add two new type of optimal cross-temporal reconciliation (cs_struc and t_struc);
• Improved docs and bug fixes.

FoReco 0.2.2

Minor changes

• Fixed documentation;
• Removed ut2c() and srref().

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() and octrec() to introduce a list of h covariance matrices in the parameters W and Omega, where h stands for the forecast horizon (note that for thfrec() and octrec() this is the forecast horizon of the entire cycle);
• Param Sstruc is no more avaible in octrec() and ctf_tools(). FoReco uses a fast algorithm to compute Scheck, so no external input is needed;
• Modified output of ctf_tools() (added Ccheck, Htcheck, Scheck, removed Cstruc, Sstruc), hts_tools() (added C) and thf_tools() (added m);
• Added two new not negative reconciliation techniques (“KAnn” and “sntz”) with a new parameter (nn_type) in htsrec(), thfrec() and octrec();
• 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 the Omega parameter and not only the W variant with the W parameter;
• Updated tcsrec(), cstrec() and iterec(). In the iterec() function the maxit parameter has been replaced by itmax, however for the moment maxit 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 in htsrec(), thfrec() and octrec();
• 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() and srref() 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

Minore release, fixing some bugs and the documentation

• Fixed a bug in iterec() when calculating the 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