如何使用hts :: combinef()获得自上而下的预测? [英] How to get top down forecasts using `hts::combinef()`?

问题描述

我正在尝试将hts包中的预测对帐方法与以前的现有预测进行比较.我无法使用forecast.gts函数，因为没有计算上容易处理的方式来创建用户定义的函数，该函数返回预测对象中的值.因此，我使用软件包中的combinef()函数重新分配了预测.我已经能够使用适当的weights来获取wls和nseries方法，并且ols版本是默认版本.我能够使用以下方法获得自下而上"的方法:

I am trying to compare forecast reconciliation methods from the hts package on previously existing forecasts. The forecast.gts function is not available to me since there is no computationally tractable way to create a user defined function that returns the values in a forecast object. Because of this, I am using the combinef() function in the package to redistribute the forecasts. I have been able to work of the proper weights to get the wls and nseries methods, and the ols version is the default. I was able to get the "bottom up" method using:

# Creates sample forecasts, taken from `combinef()` example
library(hts)
h <- 12
ally <- aggts(htseg1)
allf <- matrix(NA, nrow = h, ncol = ncol(ally))
for(i in 1:ncol(ally))
    allf[,i] <- forecast(auto.arima(ally[,i]), h = h, PI = FALSE)$mean
allf <- ts(allf, start = 51)
# create the weight vector
numTS <- ncol(allf) # Get the total number of series
numBaseTS <- sum(tail(htseg1$nodes, 1)[[1]]) # Get the number of bottom level series
# Create weights of 0 for all aggregate ts and 1 for the base level
weightVals <- c(rep(0, numTS - numBaseTS), rep(1, numBaseTS))
y.f <- combinef(allf, htseg1$nodes, weights = weightVals)

我希望像使第一个权重1和其余的0之类的东西可以给我三个自上而下的预测之一，但这只会导致一堆0 s或NaN值取决于您如何看待它.

I was hoping that something like making the first weight 1 and the rest 0 might give me one of the three top down forecast, but that just results in a bunch of 0s or NaN values depending on how you try to look at it.

combinef(allf, htseg1$nodes, weights = c(1, rep(0, numTS - 1)))

我知道自上而下的方法并不是手动计算最困难的事情，并且我可以编写一个函数来执行此操作，但是hts包中是否有任何工具可以帮助解决此问题?我想保持数据格式一致，以简化分析.最具体地说，我想获得自上而下的预测比例"或tdfp方法.

I know the top down methods aren't the hardest thing to compute manually, and I can just write a function to do that, but are there any tools in the hts package that can help with this? I'd like to keep the data format consistent to simplify my analysis. Most specifically, I would like to get the "top down forcasted proportions" or tdfp method.

推荐答案

当前未导出使用自上而下"方法协调预测的功能.也许我应该导出它们，以使自上而下"的结果在下一个版本中像combinef()一样易于处理.解决方法如下:

The functions to reconcile the forecasts using the "top-down" method are currently not exported. Probably I should export them to make the "top-down" results as tractable as combinef() in the next version. The workaround is as follows:

hts:::TdFp(allf, nodes = htseg1$nodes)

希望有帮助.

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