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earowang / hts

Hierarchical and Grouped Time Series
http://pkg.earo.me/hts
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Add prediction intervals #27

Open robjhyndman opened 7 years ago

robjhyndman commented 7 years ago

The equations are given in the CSDA 2011 paper. Can we add prediction intervals as an optional output to forecast.gts?

shea-parkes commented 7 years ago

If someone has a moment, would it be possible to provide the full name of the paper referenced above? ("the CSDA 2011 paper" that covers "adding prediction intervals to hts")

shea-parkes commented 7 years ago

My apologies, I believe this was in reference to the original paper that hts is based on. For future readers, here is a link to that paper: https://robjhyndman.com/publications/foresight-hts/

I had thought there was additional, more recent research on prediction intervals in an hts framework. I was unable to find that with a few minutes of searching. If anyone else is aware of anything recent done on this front, I would appreciate an updated reference.

sachin-aag commented 4 years ago

Any update on this?

I think it would be helpful for the ongoing M5 competition.

robjhyndman commented 4 years ago

This package is now only receiving minimal maintenance. Please use the fable package to get prediction intervals for reconciled forecasts.