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htsDegenerateR adapts the original hts library implementation of the trace minimization algorithm originally proposed by Wickramasuriya et al..
This library can be installed using:
devtools::install_github("lsteinmeister/htsDegenerateR“)For more details, see Steinmeister et al..
Please cite this library as follows:
Steinmeister, L., & Pauly, M. (2024). Degenerate Hierarchical Time Series Reconciliation With The Minimum Trace Algorithm in R. In D. Herberger & M. Hübner (Eds.), Proceedings of the Conference on Production Systems and Logistics: CPSL. publish-Ing. https://doi.org/https://doi.org/10.15488/17729
Steinmeister, L., & Pauly, M. (2024). Degenerate Hierarchical Time Series Reconciliation With The Minimum Trace Algorithm in R. In D. Herberger & M. Hübner (Eds.), Proceedings of the Conference on Production Systems and Logistics: CPSL. publish-Ing. https://doi.org/https://doi.org/10.15488/17729
Wickramasuriya, S. L., Athanasopoulos, G., & Hyndman, R. J. (2019). Optimal Forecast Reconciliation for Hierarchical and Grouped Time Series Through Trace Minimization. Journal of the American Statistical Association, 114(526), 804–819. https://doi.org/10.1080/01621459.2018.1448825
These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.