Score Optimal Probabilistic Forecast Reconciliation
Overview
Training of reconciliation weights for probabilistic forecasts to optimise total energy (or variogram) score using Stochastic Gradient Descent with automatically differentiated gradients. See Panagiotelis, Gamakumara, Athanasopoulos and Hyndman, (2020) https://www.monash.edu/business/ebs/research/publications/ebs/wp26-2020.pdf for a description of the methods.
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Documentation
- Help pages
- 7 (1 internal)includes a package overview page
- Examples that run
- 50%2 run in a plain check · 2 only when donttest examples are enabled (R CMD check --as-cran)
- Exported functions with examples
- 80%
- Documented parameters
- not tracked
- Return-value docs
- not tracked
- Help pages citing references
- 29% with a bibliography file
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Datasets
People & History
Package metadata
- First published
- 2020-08-18
- Total releases
- 3 / 6 yrs
- License
- GPL-3 OSI
- Minimum R
- ≥ 3.5.0
- Bundled data
- 84 KB / 1 file
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