37 citations · 78 across the 16 of their papers we have counts for
9 papers · 1 filter
Forecast reconciliation with non-linear constraints
Daniele Girolimetto, Anastasios Panagiotelis, Tommaso Di Fonzo +1
Methods for forecasting time series adhering to linear constraints have seen notable development in recent years, especially with the advent of forecast reconciliation. This paper…
Balancing Accuracy and Costs in Cross-Temporal Hierarchies: Investigating Decision-Based and Validation-Based Reconciliation
Mahdi Abolghasemi, Daniele Girolimetto, Tommaso Di Fonzo
Wind power forecasting is essential for managing daily operations at wind farms and enabling market operators to manage power uncertainty effectively in demand planning. This paper…
Coherent forecast combination for linearly constrained multiple time series
Daniele Girolimetto, Tommaso Di Fonzo
Linearly constrained multiple time series may be encountered in many practical contexts, such as the National Accounts (e.g., GDP disaggregated by Income, Expenditure and Output),…
Insights into regression-based cross-temporal forecast reconciliation
Daniele Girolimetto, Tommaso Di Fonzo
Cross-temporal forecast reconciliation aims to ensure consistency across forecasts made at different temporal and cross-sectional levels. We explore the relationships between seque…
Exploiting Intraday Decompositions in Realized Volatility Forecasting: A Forecast Reconciliation Approach
Massimiliano Caporin, Tommaso Di Fonzo, Daniele Girolimetto
We address the construction of Realized Variance (RV) forecasts by exploiting the hierarchical structure implicit in available decompositions of RV. By using data referred to the D…
Point and probabilistic forecast reconciliation for general linearly constrained multiple time series
Daniele Girolimetto, Tommaso Di Fonzo
Forecast reconciliation is the post-forecasting process aimed to revise a set of incoherent base forecasts into coherent forecasts in line with given data structures. Most of the p…
Cross-temporal probabilistic forecast reconciliation: Methodological and practical issues
Daniele Girolimetto, George Athanasopoulos, Tommaso Di Fonzo +1
Forecast reconciliation is a post-forecasting process that involves transforming a set of incoherent forecasts into coherent forecasts which satisfy a given set of linear constrain…
Cross-temporal forecast reconciliation: Optimal combination method and heuristic alternatives
Tommaso Di Fonzo, Daniele Girolimetto
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). Co…
Fully reconciled GDP forecasts from Income and Expenditure sides
Luisa Bisaglia, Tommaso Di Fonzo, Daniele Girolimetto
We propose a complete reconciliation procedure, resulting in a 'one number forecast' of the GDP figure, coherent with both Income and Expenditure sides' forecasted series, and eval…