Bayesian Reconciliation of Overlapping Multi Step Forecasts: A Post Processing Framework for Cross Origin Coherence

Oluwatosin Bamidele Fajana, Ricardo S. Ehlers, Marinho G. Andrade

Overlapping multi step forecasts often disagree, a form of vertical instability that we term cross origin incoherence. We propose a Bayesian reconciliation framework that treats ov…