Probabilistic reconciliation of time series forecasts
Project description
reconcile
Probabilistic reconciliation of time series forecasts
About
Reconcile implements probabilistic time series forecast reconciliation methods introduced in
- Zambon, Lorenzo, Dario Azzimonti, and Giorgio Corani. "Probabilistic reconciliation of forecasts via importance sampling." arXiv preprint arXiv:2210.02286 (2022).
- 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
and
a case study on probabilistic forecast reconciliation of stock index data
can be found here.
Installation
Make sure to have a working JAX
installation. Depending whether you want to use CPU/GPU/TPU,
please follow these instructions.
To install the package 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
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