87 citations · 94 across the 11 of their papers we have counts for
12 papers
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…
Vector Copula Variational Inference and Dependent Block Posterior Approximations
Yu Fu, Michael Stanley Smith, Anastasios Panagiotelis
The key to VI is the selection of a tractable density to approximate the Bayesian posterior. For large and complex models a common choice is to assume independence between multivar…
Forecast Linear Augmented Projection (FLAP): A free lunch to reduce forecast error variance
Yangzhuoran Fin Yang, George Athanasopoulos, Rob J. Hyndman +1
A novel forecast linear augmented projection (FLAP) method is introduced, which reduces the forecast error variance of any unbiased multivariate forecast without introducing bias.…
Estimating granular house price distributions in the Australian market using Gaussian mixtures
Willem P Sijp, Anastasios Panagiotelis
A new methodology is proposed to approximate the time-dependent house price distribution at a fine regional scale using Gaussian mixtures. The means, variances and weights of the m…
Constructing hierarchical time series through clustering: Is there an optimal way for forecasting?
Bohan Zhang, Anastasios Panagiotelis, Han Li
Forecast reconciliation has attracted significant research interest in recent years, with most studies taking the hierarchy of time series as given. We extend existing work that us…
Discrete forecast reconciliation
Bohan Zhang, Anastasios Panagiotelis, Yanfei Kang
This paper presents a formal framework and proposes algorithms to extend forecast reconciliation to discrete-valued data to extend forecast reconciliation to discrete-valued data,…