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stat.ME2026
Online forecast reconciliation using linear models
Tobias Rønlev-Knudsen, Henrik Madsen, Jan Kloppenborg Møller
We present a framework for online and adaptive forecasting and hierarchical reconciliation using linear regression models. We begin by formalizing hierarchies using graphs, and mot…
stat.ME2024
Optimal Forecast Reconciliation with Uncertainty Quantification
Jan Kloppenborg Møller, Peter Nystrup, Poul G. Hjorth +1
We propose to estimate the weight matrix used for forecast reconciliation as parameters in a general linear model in order to quantify its uncertainty. This implies that forecast r…