A package for probabilistic forecast reconciliation based on score optimisation via stochastic gradient methods. The main functions are
scoreopt()for score optimisation based on a rolling window of out of sample forecasts.scoreoptin()for score optimisation based on using residuals (easier interface).
More information can be found in the package vignettes.
# To download `ProbReco` from CRAN:
install.packages("ProbReco")
To get a bug fix or to use a feature from the development version, you
can install the development version of ProbReco from GitHub.
# install.packages("devtools")
devtools::install_github("anastasiospanagiotelis/ProbReco")If you encounter a clear bug, please file an issue with a minimal reproducible example on GitHub.