/mtsreco

Point and probabilistic forecast reconciliation for general linearly constrained multiple time series

Primary LanguageR

Point and probabilistic forecast reconciliation for general linearly constrained multiple time series

  • Article title: Point and probabilistic forecast reconciliation for general linearly constrained multiple time series
  • Authors: Daniele Girolimetto, and Tommaso Di Fonzo
  • DOI: https://doi.org/10.1007/s10260-023-00738-6

Directories

  • Directories AusGDP and EuroGDP contains all code for two empirical applications.

Citation

@article{GiroDiFonzo2023,
  author = {Girolimetto, Daniele and {Di Fonzo}, Tommaso},
  title = {Point and probabilistic forecast reconciliation for general linearly constrained multiple time series},
  year = {2023},
  journal = {Statistical Methods \& Applications},
  number = {in press},
  doi = {10.1007/s10260-023-00738-6}
}