Score Optimal Probabilistic Forecast Reconciliation


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Documentation for package ‘ProbReco’ version 0.1.0.1

Help Pages

checkinputs Check inputs to function.
inscoreopt In-Sample Score Optimisation by Stochastic Gradient Descent
scoreopt Score optimisation by Stochastic Gradient Descent
scoreopt.control Tuning parameters for score optimisation by Stochastic Gradient Descent
sim_hierarchy Synthetic hierarchical data from stationary Gaussian ARMA models.
total_score Total score (and gradient) for reconciled forecast