Iterative Trace Minimization for the Reconciliation of Very Short Hierarchical Time Series
极短层级时间序列预测协调的迭代迹最小化方法
Time series often appear in an additive hierarchical structure. In such cases, time series on higher levels are the sums of their subordinate time series. This hierarchical structure places a natural constraint on forecasts. However, univariate forecasting techniques are incapable of ensuring this forecast coherence. An obvious solution is to forecast only bottom time series and obtain higher level forecasts through aggregation. This approach is also known as the bottom-up…