Understanding forecast reconciliation

• Published in: European journal of operational research Vol. 294; no. 1; pp. 149 - 160
• Main Authors: Hollyman, Ross, Petropoulos, Fotios, Tipping, Michael E.
• Format: Journal Article
• Language: English
• Published: Elsevier B.V 01.10.2021
• Subjects: Forecast combinations; Forecasting; Hierarchies; Top-down; Unbiasedness; Forecast combinations; Hierarchies; Unbiasedness; Top-down; Forecasting

•We relate recent literature on Forecast Reconciliation to the extensive body of work on Forecast Combination.•We demonstrate how the linear constraints which naturally apply to the data can be used to generate indirect forecasts of each time-series. These are then combined with direct forecasts to...