Introduces a multivariate forecast reconciliation approach for hierarchical time series that accounts for inter-variable correlations to achieve coherence and higher accuracy than separate univariate reconciliations.
Cross-temporal forecast reconciliation: Optimal combination method and heuristic alternatives , volume =
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Multivariate reconciliation for hierarchical time series
Introduces a multivariate forecast reconciliation approach for hierarchical time series that accounts for inter-variable correlations to achieve coherence and higher accuracy than separate univariate reconciliations.