论文标题
跨时空预测和解：最佳组合方法和启发式替代方法
Cross-temporal forecast reconciliation: Optimal combination method and heuristic alternatives
论文作者
论文摘要
预测和解是一个旨在提高层次/分组时间序列系统的基本预测质量的质量（Hyndman等，2011）。文献中已经考虑了同时的（横截面）和时间层次结构，但是 - 除了Kourentzes和Athanasopoulos（2019）外，这两个特征通常没有被全面考虑。本文采用能够同时处理两个预测和解维度的符号，显示了两个新的结果：（i）迭代性的跨夜间预测和解程序，该程序扩展并克服了库伦兹和雅典娜斯普洛斯（Athanasopoulos）（2019）和（ii）表达的两步性过程的某些弱点，以及两步性的过程，以及（ii）的表达（ii）。同时和时间限制。与表现最多的“单一维度”（横截面或时间上）预测对帐程序相比，提出的程序的可行性以及对其性能的首次评估，是通过对AthanasaSopoulos等人从收入和支出的95季度季度时间序列进行的预测实验来研究的。 （2019）。
Forecast reconciliation is a post-forecasting process aimed to improve the quality of the base forecasts for a system of hierarchical/grouped time series (Hyndman et al., 2011). Contemporaneous (cross-sectional) and temporal hierarchies have been considered in the literature, but - except for Kourentzes and Athanasopoulos (2019) - generally these two features have not been fully considered together. Adopting a notation able to simultaneously deal with both forecast reconciliation dimensions, the paper shows two new results: (i) an iterative cross-temporal forecast reconciliation procedure which extends, and overcomes some weaknesses of, the two-step procedure by Kourentzes and Athanasopoulos (2019), and (ii) the closed-form expression of the optimal (in least squares sense) point forecasts which fulfill both contemporaneous and temporal constraints. The feasibility of the proposed procedures, along with first evaluations of their performance as compared to the most performing `single dimension' (either cross-sectional or temporal) forecast reconciliation procedures, is studied through a forecasting experiment on the 95 quarterly time series of the Australian GDP from Income and Expenditure sides considered by Athanasopoulos et al. (2019).
