We address some open-issues related to the relationships between sequential, iterative and optimal combination cross-temporal forecast reconciliation approaches proposed by [2]. We discuss the conditions under which a sequential (either first-cross-sectional-then-temporal, or first-temporal-then-cross-sectional) approach is equivalent to a fully (i.e., cross-temporally) coherent iterative heuristic. We also show that, for specific patterns of the error covariance matrix of the regression model on which the optimal combination approach grounds, iterative reconciliation ‘converges’ to the optimal combination solution. The reduction of the computing effort is evaluated in the experiment of forecasting hourly photovoltaic power generation considered by [3].

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Insights into Regression-Based Cross-Temporal Forecast Reconciliation

  • Daniele Girolimetto,
  • Tommaso Di Fonzo

摘要

We address some open-issues related to the relationships between sequential, iterative and optimal combination cross-temporal forecast reconciliation approaches proposed by [2]. We discuss the conditions under which a sequential (either first-cross-sectional-then-temporal, or first-temporal-then-cross-sectional) approach is equivalent to a fully (i.e., cross-temporally) coherent iterative heuristic. We also show that, for specific patterns of the error covariance matrix of the regression model on which the optimal combination approach grounds, iterative reconciliation ‘converges’ to the optimal combination solution. The reduction of the computing effort is evaluated in the experiment of forecasting hourly photovoltaic power generation considered by [3].