probabilistic-reconciliation 0.0.2

Probabilistic reconciliation of time series forecasts

reconcile

Probabilistic reconciliation of time series forecasts

About

Reconcile implements probabilistic time series forecast reconciliation methods introduced in

1. Zambon, Lorenzo, Dario Azzimonti, and Giorgio Corani. "Probabilistic reconciliation of forecasts via importance sampling." arXiv preprint arXiv:2210.02286 (2022).
2. Panagiotelis, Anastasios, et al. "Probabilistic forecast reconciliation: Properties, evaluation and score optimisation." European Journal of Operational Research (2022).

The package implements

• methods to compute summing/aggregation matrices for grouped and hierarchical time series,
• an abstract base forecasting class,
• reconciliation methods for forecasts based on sampling and optimization

An example application can be found in examples/reconciliation.py

Installation

To install from PyPI, call:

pip install probabilistic-reconciliation

To install the latest GitHub , just call the following on the command line:

pip install git+https://github.com/dirmeier/reconcile@<RELEASE>

Author

Simon Dirmeier sfyrbnd @ pm me