The document discusses hierarchical and grouped time series analysis. It defines hierarchical time series as collections of time series linked in a hierarchical structure, while grouped time series aggregate time series in non-hierarchical ways. It describes existing forecasting methods for hierarchical time series as bottom-up, top-down, and middle-out. However, it notes that further research is needed on computing forecast intervals and dealing with grouped time series forecasting. The document also provides mathematical notation for representing hierarchical time series data.
Cet atelier est présenté dans le cadre du cours MEC627 (baccalauréat en génie mécanique) qui porte sur les technologies de fabrication additive et demande aux étudiants d'établir une veille informationnelle sur ce sujet. L'atelier présente une méthode pour mettre en place une veille informationnelle ainsi que certains outils pertinents (p. ex. Feedly, Netvibes, etc.)
ملزمة الرياضيات للسادس العلمي الأحيائي 2017 الفصل 1 للأستاذ علي حميد moeiraqi.org
ملزمة الرياضيات للسادس العلمي الأحيائي للعام 2017 للأستاذ علي حميد
الفصل الأول ( الأعداد المركبة) وتحتوي على :
- شرح مفصل لجميع أمثلة وتمارين الكتاب للفصل الأول حسب المنهج الجديد .
- حلول التمارين العامة للفصل الأول .
- حلول الأسئلة الوزارية من عام 1998 الى 2016 ولكلا الدورين الأول والثاني .
- أسئلة إضافية محلولة .
موقع المدرس العراقي
http://www.moeiraqi.org/2016/08/2017-1.html
Cet atelier est présenté dans le cadre du cours MEC627 (baccalauréat en génie mécanique) qui porte sur les technologies de fabrication additive et demande aux étudiants d'établir une veille informationnelle sur ce sujet. L'atelier présente une méthode pour mettre en place une veille informationnelle ainsi que certains outils pertinents (p. ex. Feedly, Netvibes, etc.)
ملزمة الرياضيات للسادس العلمي الأحيائي 2017 الفصل 1 للأستاذ علي حميد moeiraqi.org
ملزمة الرياضيات للسادس العلمي الأحيائي للعام 2017 للأستاذ علي حميد
الفصل الأول ( الأعداد المركبة) وتحتوي على :
- شرح مفصل لجميع أمثلة وتمارين الكتاب للفصل الأول حسب المنهج الجديد .
- حلول التمارين العامة للفصل الأول .
- حلول الأسئلة الوزارية من عام 1998 الى 2016 ولكلا الدورين الأول والثاني .
- أسئلة إضافية محلولة .
موقع المدرس العراقي
http://www.moeiraqi.org/2016/08/2017-1.html
يداً بيد لحفظ القرآن الكريــــم ( سورة البقرة مع أحكام التجويد الأساسية فيها Maysoun67
سلايدات تعرض آيات سورة البقرة مرفقة ب ( شرح لغريب مفرداتها - أحكام التجويد الأساسية الواردة فيها برواية حفص عن عاصم من طريق الشاطبية - تلاوة للآية بصوت الشيخ الحصري رحمه الله ) , مع شرح نظري للأحكام الأساسية في علم التجويد نهاية العرض ... و ذلك في خطوة لتعليم المبتدئين التلاوة الصحيحة للآيات , و لتبسيط حفظ كتاب الله .... و الله وليّ التوفيق
يداً بيد لحفظ القرآن الكريــــم ( سورة البقرة مع أحكام التجويد الأساسية فيها Maysoun67
سلايدات تعرض آيات سورة البقرة مرفقة ب ( شرح لغريب مفرداتها - أحكام التجويد الأساسية الواردة فيها برواية حفص عن عاصم من طريق الشاطبية - تلاوة للآية بصوت الشيخ الحصري رحمه الله ) , مع شرح نظري للأحكام الأساسية في علم التجويد نهاية العرض ... و ذلك في خطوة لتعليم المبتدئين التلاوة الصحيحة للآيات , و لتبسيط حفظ كتاب الله .... و الله وليّ التوفيق
Exploring the feature space of large collections of time seriesRob Hyndman
It is becoming increasingly common for organizations to collect very large amounts of data over time. Data visualization is essential for exploring and understanding structures and patterns, and to identify unusual observations. However, the sheer quantity of data available challenges current time series visualisation methods.
For example, Yahoo has banks of mail servers that are monitored over time. Many measurements on server performance are collected every hour for each of thousands of servers. We wish to identify servers that are behaving unusually.
Alternatively, we may have thousands of time series we wish to forecast, and we want to be able to identify the types of time series that are easy to forecast and those that are inherently challenging.
I will demonstrate a functional data approach to this problem using a vector of features on each time series, measuring characteristics of the series. For example, the features may include lag correlation, strength of seasonality, spectral entropy, etc. Then we use a principal component decomposition on the features, and plot the first few principal components. This enables us to explore a lower dimensional space and discover interesting structure and unusual observations.
Automatic algorithms for time series forecastingRob Hyndman
Many applications require a large number of time series to be forecast completely automatically. For example, manufacturing companies often require weekly forecasts of demand for thousands of products at dozens of locations in order to plan distribution and maintain suitable inventory stocks. In these circumstances, it is not feasible for time series models to be developed for each series by an experienced analyst. Instead, an automatic forecasting algorithm is required.
In addition to providing automatic forecasts when required, these algorithms also provide high quality benchmarks that can be used when developing more specific and specialized forecasting models.
I will describe some algorithms for automatically forecasting univariate time series that have been developed over the last 20 years. The role of forecasting competitions in comparing the forecast accuracy of these algorithms will also be discussed.
Exploring the boundaries of predictabilityRob Hyndman
Why is it that we can accurately forecast a solar eclipse in 1000 years time, but we have no idea whether Yahoo's stock price will rise or fall tomorrow? Or why can we forecast electricity consumption next week with remarkable precision, but we cannot forecast exchange rate fluctuations in the next hour?
In this talk, I will discuss the conditions we need for predictability, how to measure the uncertainty of predictions, and the consequences of thinking we can predict something more accurately than we can.
I will draw on my experiences in forecasting Australia's health budget for the next few years, in developing forecasting models for peak electricity demand in 20 years time, and in identifying unpredictable activity on Yahoo's mail servers.
MEFM: An R package for long-term probabilistic forecasting of electricity demandRob Hyndman
I will describe and demonstrate a new open-source R package that implements the Monash Electricity Forecasting Model, a semi-parametric probabilistic approach to forecasting long-term electricity demand. The underlying model proposed in Hyndman and Fan (2010) is now widely used in practice, particularly in Australia. The model has undergone many improvements and developments since it was first proposed, and these have been incorporated in this R implementation.
The package allows for ensemble forecasting of demand based on simulations of future sample paths of temperatures and other predictor variables. It requires the following data as inputs: half-hourly/hourly electricity demands; half-hourly/hourly temperatures at one or two locations; seasonal (e.g., quarterly) demographic and economic data; and public holiday data.
Peak electricity demand forecasting is important in medium and long-term planning of electricity supply. Extreme demand often leads to supply failure with consequential business and social disruption. Forecasting extreme demand events is therefore an important problem in energy management, and this package provides a useful tool for energy companies and regulators in future planning.
Forecasting electricity demand distributions using a semiparametric additive ...Rob Hyndman
Electricity demand forecasting plays an important role in short-term load allocation and long-term planning for future generation facilities and transmission augmentation. Planners must adopt a probabilistic view of potential peak demand levels, therefore density forecasts (providing estimates of the full probability distributions of the possible future values of the demand) are more helpful than point forecasts, and are necessary for utilities to evaluate and hedge the financial risk accrued by demand variability and forecasting uncertainty.
Electricity demand in a given season is subject to a range of uncertainties, including underlying population growth, changing technology, economic conditions, prevailing weather conditions (and the timing of those conditions), as well as the general randomness inherent in individual usage. It is also subject to some known calendar effects due to the time of day, day of week, time of year, and public holidays.
I will describe a comprehensive forecasting solution designed to take all the available information into account, and to provide forecast distributions from a few hours ahead to a few decades ahead. We use semi-parametric additive models to estimate the relationships between demand and the covariates, including temperatures, calendar effects and some demographic and economic variables. Then we forecast the demand distributions using a mixture of temperature simulation, assumed future economic scenarios, and residual bootstrapping. The temperature simulation is implemented through a new seasonal bootstrapping method with variable blocks.
The model is being used by the state energy market operators and some electricity supply companies to forecast the probability distribution of electricity demand in various regions of Australia. It also underpinned the Victorian Vision 2030 energy strategy.
We evaluate the performance of the model by comparing the forecast distributions with the actual demand in some previous years. An important aspect of these evaluations is to find a way to measure the accuracy of density forecasts and extreme quantile forecasts.
Epistemic Interaction - tuning interfaces to provide information for AI supportAlan Dix
Paper presented at SYNERGY workshop at AVI 2024, Genoa, Italy. 3rd June 2024
https://alandix.com/academic/papers/synergy2024-epistemic/
As machine learning integrates deeper into human-computer interactions, the concept of epistemic interaction emerges, aiming to refine these interactions to enhance system adaptability. This approach encourages minor, intentional adjustments in user behaviour to enrich the data available for system learning. This paper introduces epistemic interaction within the context of human-system communication, illustrating how deliberate interaction design can improve system understanding and adaptation. Through concrete examples, we demonstrate the potential of epistemic interaction to significantly advance human-computer interaction by leveraging intuitive human communication strategies to inform system design and functionality, offering a novel pathway for enriching user-system engagements.
Builder.ai Founder Sachin Dev Duggal's Strategic Approach to Create an Innova...Ramesh Iyer
In today's fast-changing business world, Companies that adapt and embrace new ideas often need help to keep up with the competition. However, fostering a culture of innovation takes much work. It takes vision, leadership and willingness to take risks in the right proportion. Sachin Dev Duggal, co-founder of Builder.ai, has perfected the art of this balance, creating a company culture where creativity and growth are nurtured at each stage.
Observability Concepts EVERY Developer Should Know -- DeveloperWeek Europe.pdfPaige Cruz
Monitoring and observability aren’t traditionally found in software curriculums and many of us cobble this knowledge together from whatever vendor or ecosystem we were first introduced to and whatever is a part of your current company’s observability stack.
While the dev and ops silo continues to crumble….many organizations still relegate monitoring & observability as the purview of ops, infra and SRE teams. This is a mistake - achieving a highly observable system requires collaboration up and down the stack.
I, a former op, would like to extend an invitation to all application developers to join the observability party will share these foundational concepts to build on:
Elevating Tactical DDD Patterns Through Object CalisthenicsDorra BARTAGUIZ
After immersing yourself in the blue book and its red counterpart, attending DDD-focused conferences, and applying tactical patterns, you're left with a crucial question: How do I ensure my design is effective? Tactical patterns within Domain-Driven Design (DDD) serve as guiding principles for creating clear and manageable domain models. However, achieving success with these patterns requires additional guidance. Interestingly, we've observed that a set of constraints initially designed for training purposes remarkably aligns with effective pattern implementation, offering a more ‘mechanical’ approach. Let's explore together how Object Calisthenics can elevate the design of your tactical DDD patterns, offering concrete help for those venturing into DDD for the first time!
PHP Frameworks: I want to break free (IPC Berlin 2024)Ralf Eggert
In this presentation, we examine the challenges and limitations of relying too heavily on PHP frameworks in web development. We discuss the history of PHP and its frameworks to understand how this dependence has evolved. The focus will be on providing concrete tips and strategies to reduce reliance on these frameworks, based on real-world examples and practical considerations. The goal is to equip developers with the skills and knowledge to create more flexible and future-proof web applications. We'll explore the importance of maintaining autonomy in a rapidly changing tech landscape and how to make informed decisions in PHP development.
This talk is aimed at encouraging a more independent approach to using PHP frameworks, moving towards a more flexible and future-proof approach to PHP development.
GDG Cloud Southlake #33: Boule & Rebala: Effective AppSec in SDLC using Deplo...James Anderson
Effective Application Security in Software Delivery lifecycle using Deployment Firewall and DBOM
The modern software delivery process (or the CI/CD process) includes many tools, distributed teams, open-source code, and cloud platforms. Constant focus on speed to release software to market, along with the traditional slow and manual security checks has caused gaps in continuous security as an important piece in the software supply chain. Today organizations feel more susceptible to external and internal cyber threats due to the vast attack surface in their applications supply chain and the lack of end-to-end governance and risk management.
The software team must secure its software delivery process to avoid vulnerability and security breaches. This needs to be achieved with existing tool chains and without extensive rework of the delivery processes. This talk will present strategies and techniques for providing visibility into the true risk of the existing vulnerabilities, preventing the introduction of security issues in the software, resolving vulnerabilities in production environments quickly, and capturing the deployment bill of materials (DBOM).
Speakers:
Bob Boule
Robert Boule is a technology enthusiast with PASSION for technology and making things work along with a knack for helping others understand how things work. He comes with around 20 years of solution engineering experience in application security, software continuous delivery, and SaaS platforms. He is known for his dynamic presentations in CI/CD and application security integrated in software delivery lifecycle.
Gopinath Rebala
Gopinath Rebala is the CTO of OpsMx, where he has overall responsibility for the machine learning and data processing architectures for Secure Software Delivery. Gopi also has a strong connection with our customers, leading design and architecture for strategic implementations. Gopi is a frequent speaker and well-known leader in continuous delivery and integrating security into software delivery.
Le nuove frontiere dell'AI nell'RPA con UiPath Autopilot™UiPathCommunity
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📕 Vedremo insieme alcuni esempi dell'utilizzo di Autopilot in diversi tool della Suite UiPath:
Autopilot per Studio Web
Autopilot per Studio
Autopilot per Apps
Clipboard AI
GenAI applicata alla Document Understanding
👨🏫👨💻 Speakers:
Stefano Negro, UiPath MVPx3, RPA Tech Lead @ BSP Consultant
Flavio Martinelli, UiPath MVP 2023, Technical Account Manager @UiPath
Andrei Tasca, RPA Solutions Team Lead @NTT Data
LF Energy Webinar: Electrical Grid Modelling and Simulation Through PowSyBl -...DanBrown980551
Do you want to learn how to model and simulate an electrical network from scratch in under an hour?
Then welcome to this PowSyBl workshop, hosted by Rte, the French Transmission System Operator (TSO)!
During the webinar, you will discover the PowSyBl ecosystem as well as handle and study an electrical network through an interactive Python notebook.
PowSyBl is an open source project hosted by LF Energy, which offers a comprehensive set of features for electrical grid modelling and simulation. Among other advanced features, PowSyBl provides:
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- Visualization tools to display your network;
- Grid simulation tools, such as power flows, security analyses (with or without remedial actions) and sensitivity analyses;
The framework is mostly written in Java, with a Python binding so that Python developers can access PowSyBl functionalities as well.
What you will learn during the webinar:
- For beginners: discover PowSyBl's functionalities through a quick general presentation and the notebook, without needing any expert coding skills;
- For advanced developers: master the skills to efficiently apply PowSyBl functionalities to your real-world scenarios.
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https://arxiv.org/abs/2306.08302
2. Microsoft Research's GraphRAG paper and a review paper on various uses of knowledge graphs:
https://www.microsoft.com/en-us/research/blog/graphrag-unlocking-llm-discovery-on-narrative-private-data/
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Join us for an insightful dive into the world of FME parameters, a critical element in optimizing workflow efficiency. This webinar marks the beginning of our three-part “Essentials of Automation” series. This first webinar is designed to equip you with the knowledge and skills to utilize parameters effectively: enhancing the flexibility, maintainability, and user control of your FME projects.
Here’s what you’ll gain:
- Essentials of FME Parameters: Understand the pivotal role of parameters, including Reader/Writer, Transformer, User, and FME Flow categories. Discover how they are the key to unlocking automation and optimization within your workflows.
- Practical Applications in FME Form: Delve into key user parameter types including choice, connections, and file URLs. Allow users to control how a workflow runs, making your workflows more reusable. Learn to import values and deliver the best user experience for your workflows while enhancing accuracy.
- Optimization Strategies in FME Flow: Explore the creation and strategic deployment of parameters in FME Flow, including the use of deployment and geometry parameters, to maximize workflow efficiency.
- Pro Tips for Success: Gain insights on parameterizing connections and leveraging new features like Conditional Visibility for clarity and simplicity.
We’ll wrap up with a glimpse into future webinars, followed by a Q&A session to address your specific questions surrounding this topic.
Don’t miss this opportunity to elevate your FME expertise and drive your projects to new heights of efficiency.
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All these questions and more will be explored as we talk about matching clients’ needs with what your agency offers without pulling teeth or pulling your hair out. Practical tips, and strategies for successful relationship building that leads to closing the deal.
Smart TV Buyer Insights Survey 2024 by 91mobiles.pdf91mobiles
91mobiles recently conducted a Smart TV Buyer Insights Survey in which we asked over 3,000 respondents about the TV they own, aspects they look at on a new TV, and their TV buying preferences.
Smart TV Buyer Insights Survey 2024 by 91mobiles.pdf
R tools for hierarchical time series
1. Total
A
AA AB AC
B
BA BB BC
C
CA CB CC
1
Rob J Hyndman
tools for hierarchical
time series
2. Introduction
Total
A
AA AB AC
B
BA BB BC
C
CA CB CC
Examples
Manufacturing product hierarchies
Pharmaceutical sales
Net labour turnover
hts: R tools for hierarchical time series 2
3. Introduction
Total
A
AA AB AC
B
BA BB BC
C
CA CB CC
Examples
Manufacturing product hierarchies
Pharmaceutical sales
Net labour turnover
hts: R tools for hierarchical time series 2
4. Introduction
Total
A
AA AB AC
B
BA BB BC
C
CA CB CC
Examples
Manufacturing product hierarchies
Pharmaceutical sales
Net labour turnover
hts: R tools for hierarchical time series 2
5. Introduction
Total
A
AA AB AC
B
BA BB BC
C
CA CB CC
Examples
Manufacturing product hierarchies
Pharmaceutical sales
Net labour turnover
hts: R tools for hierarchical time series 2
6. Hierarchical/grouped time series
A hierarchical time series is a collection of
several time series that are linked together in a
hierarchical structure.
Example: Pharmaceutical products are organized in
a hierarchy under the Anatomical Therapeutic
Chemical (ATC) Classification System.
A grouped time series is a collection of time
series that are aggregated in a number of
non-hierarchical ways.
Example: daily numbers of calls to HP call centres
are grouped by product type and location of call
centre.
hts: R tools for hierarchical time series 3
7. Hierarchical/grouped time series
A hierarchical time series is a collection of
several time series that are linked together in a
hierarchical structure.
Example: Pharmaceutical products are organized in
a hierarchy under the Anatomical Therapeutic
Chemical (ATC) Classification System.
A grouped time series is a collection of time
series that are aggregated in a number of
non-hierarchical ways.
Example: daily numbers of calls to HP call centres
are grouped by product type and location of call
centre.
hts: R tools for hierarchical time series 3
8. Hierarchical/grouped time series
A hierarchical time series is a collection of
several time series that are linked together in a
hierarchical structure.
Example: Pharmaceutical products are organized in
a hierarchy under the Anatomical Therapeutic
Chemical (ATC) Classification System.
A grouped time series is a collection of time
series that are aggregated in a number of
non-hierarchical ways.
Example: daily numbers of calls to HP call centres
are grouped by product type and location of call
centre.
hts: R tools for hierarchical time series 3
9. Hierarchical/grouped time series
A hierarchical time series is a collection of
several time series that are linked together in a
hierarchical structure.
Example: Pharmaceutical products are organized in
a hierarchy under the Anatomical Therapeutic
Chemical (ATC) Classification System.
A grouped time series is a collection of time
series that are aggregated in a number of
non-hierarchical ways.
Example: daily numbers of calls to HP call centres
are grouped by product type and location of call
centre.
hts: R tools for hierarchical time series 3
10. Hierarchical/grouped time series
Forecasts should be “aggregate
consistent”, unbiased, minimum variance.
Existing methods:
¢ Bottom-up
¢ Top-down
¢ Middle-out
How to compute forecast intervals?
Most research is concerned about relative
performance of existing methods.
There is no research on how to deal with
forecasting grouped time series.
hts: R tools for hierarchical time series 4
11. Hierarchical/grouped time series
Forecasts should be “aggregate
consistent”, unbiased, minimum variance.
Existing methods:
¢ Bottom-up
¢ Top-down
¢ Middle-out
How to compute forecast intervals?
Most research is concerned about relative
performance of existing methods.
There is no research on how to deal with
forecasting grouped time series.
hts: R tools for hierarchical time series 4
12. Hierarchical/grouped time series
Forecasts should be “aggregate
consistent”, unbiased, minimum variance.
Existing methods:
¢ Bottom-up
¢ Top-down
¢ Middle-out
How to compute forecast intervals?
Most research is concerned about relative
performance of existing methods.
There is no research on how to deal with
forecasting grouped time series.
hts: R tools for hierarchical time series 4
13. Hierarchical/grouped time series
Forecasts should be “aggregate
consistent”, unbiased, minimum variance.
Existing methods:
¢ Bottom-up
¢ Top-down
¢ Middle-out
How to compute forecast intervals?
Most research is concerned about relative
performance of existing methods.
There is no research on how to deal with
forecasting grouped time series.
hts: R tools for hierarchical time series 4
14. Hierarchical/grouped time series
Forecasts should be “aggregate
consistent”, unbiased, minimum variance.
Existing methods:
¢ Bottom-up
¢ Top-down
¢ Middle-out
How to compute forecast intervals?
Most research is concerned about relative
performance of existing methods.
There is no research on how to deal with
forecasting grouped time series.
hts: R tools for hierarchical time series 4
15. Hierarchical/grouped time series
Forecasts should be “aggregate
consistent”, unbiased, minimum variance.
Existing methods:
¢ Bottom-up
¢ Top-down
¢ Middle-out
How to compute forecast intervals?
Most research is concerned about relative
performance of existing methods.
There is no research on how to deal with
forecasting grouped time series.
hts: R tools for hierarchical time series 4
16. Hierarchical/grouped time series
Forecasts should be “aggregate
consistent”, unbiased, minimum variance.
Existing methods:
¢ Bottom-up
¢ Top-down
¢ Middle-out
How to compute forecast intervals?
Most research is concerned about relative
performance of existing methods.
There is no research on how to deal with
forecasting grouped time series.
hts: R tools for hierarchical time series 4
17. Hierarchical/grouped time series
Forecasts should be “aggregate
consistent”, unbiased, minimum variance.
Existing methods:
¢ Bottom-up
¢ Top-down
¢ Middle-out
How to compute forecast intervals?
Most research is concerned about relative
performance of existing methods.
There is no research on how to deal with
forecasting grouped time series.
hts: R tools for hierarchical time series 4
18. Hierarchical data
Total
A B C
hts: R tools for hierarchical time series 5
Yt : observed aggregate of all
series at time t.
YX,t : observation on series X at
time t.
Bt : vector of all series at
bottom level in time t.
19. Hierarchical data
Total
A B C
hts: R tools for hierarchical time series 5
Yt : observed aggregate of all
series at time t.
YX,t : observation on series X at
time t.
Bt : vector of all series at
bottom level in time t.
20. Hierarchical data
Total
A B C
Yt = [Yt, YA,t, YB,t, YC,t] =
1 1 1
1 0 0
0 1 0
0 0 1
YA,t
YB,t
YC,t
hts: R tools for hierarchical time series 5
Yt : observed aggregate of all
series at time t.
YX,t : observation on series X at
time t.
Bt : vector of all series at
bottom level in time t.
21. Hierarchical data
Total
A B C
Yt = [Yt, YA,t, YB,t, YC,t] =
1 1 1
1 0 0
0 1 0
0 0 1
S
YA,t
YB,t
YC,t
hts: R tools for hierarchical time series 5
Yt : observed aggregate of all
series at time t.
YX,t : observation on series X at
time t.
Bt : vector of all series at
bottom level in time t.
22. Hierarchical data
Total
A B C
Yt = [Yt, YA,t, YB,t, YC,t] =
1 1 1
1 0 0
0 1 0
0 0 1
S
YA,t
YB,t
YC,t
Bt
hts: R tools for hierarchical time series 5
Yt : observed aggregate of all
series at time t.
YX,t : observation on series X at
time t.
Bt : vector of all series at
bottom level in time t.
23. Hierarchical data
Total
A B C
Yt = [Yt, YA,t, YB,t, YC,t] =
1 1 1
1 0 0
0 1 0
0 0 1
S
YA,t
YB,t
YC,t
Bt
Yt = SBt
hts: R tools for hierarchical time series 5
Yt : observed aggregate of all
series at time t.
YX,t : observation on series X at
time t.
Bt : vector of all series at
bottom level in time t.
27. Grouped data
Total
A
AX AY
B
BX BY
Total
X
AX BX
Y
AY BY
Yt =
Yt
YA,t
YB,t
YX,t
YY,t
YAX,t
YAY,t
YBX,t
YBY,t
=
1 1 1 1
1 1 0 0
0 0 1 1
1 0 1 0
0 1 0 1
1 0 0 0
0 1 0 0
0 0 1 0
0 0 0 1
S
YAX,t
YAY,t
YBX,t
YBY,t
Bt
hts: R tools for hierarchical time series 7
28. Grouped data
Total
A
AX AY
B
BX BY
Total
X
AX BX
Y
AY BY
Yt =
Yt
YA,t
YB,t
YX,t
YY,t
YAX,t
YAY,t
YBX,t
YBY,t
=
1 1 1 1
1 1 0 0
0 0 1 1
1 0 1 0
0 1 0 1
1 0 0 0
0 1 0 0
0 0 1 0
0 0 0 1
S
YAX,t
YAY,t
YBX,t
YBY,t
Bt
hts: R tools for hierarchical time series 7
29. Grouped data
Total
A
AX AY
B
BX BY
Total
X
AX BX
Y
AY BY
Yt =
Yt
YA,t
YB,t
YX,t
YY,t
YAX,t
YAY,t
YBX,t
YBY,t
=
1 1 1 1
1 1 0 0
0 0 1 1
1 0 1 0
0 1 0 1
1 0 0 0
0 1 0 0
0 0 1 0
0 0 0 1
S
YAX,t
YAY,t
YBX,t
YBY,t
Bt
hts: R tools for hierarchical time series 7
Yt = SBt
30. Forecasts
Key idea: forecast reconciliation
¯ Ignore structural constraints and forecast
every series of interest independently.
¯ Adjust forecasts to impose constraints.
Let ˆYn(h) be vector of initial h-step forecasts,
made at time n, stacked in same order as Yt.
Yt = SBt . So ˆYn(h) = Sβn(h) + εh .
βn(h) = E[Bn+h | Y1, . . . , Yn].
εh has zero mean and covariance Σh.
Estimate βn(h) using GLS?
hts: R tools for hierarchical time series 8
31. Forecasts
Key idea: forecast reconciliation
¯ Ignore structural constraints and forecast
every series of interest independently.
¯ Adjust forecasts to impose constraints.
Let ˆYn(h) be vector of initial h-step forecasts,
made at time n, stacked in same order as Yt.
Yt = SBt . So ˆYn(h) = Sβn(h) + εh .
βn(h) = E[Bn+h | Y1, . . . , Yn].
εh has zero mean and covariance Σh.
Estimate βn(h) using GLS?
hts: R tools for hierarchical time series 8
32. Forecasts
Key idea: forecast reconciliation
¯ Ignore structural constraints and forecast
every series of interest independently.
¯ Adjust forecasts to impose constraints.
Let ˆYn(h) be vector of initial h-step forecasts,
made at time n, stacked in same order as Yt.
Yt = SBt . So ˆYn(h) = Sβn(h) + εh .
βn(h) = E[Bn+h | Y1, . . . , Yn].
εh has zero mean and covariance Σh.
Estimate βn(h) using GLS?
hts: R tools for hierarchical time series 8
33. Forecasts
Key idea: forecast reconciliation
¯ Ignore structural constraints and forecast
every series of interest independently.
¯ Adjust forecasts to impose constraints.
Let ˆYn(h) be vector of initial h-step forecasts,
made at time n, stacked in same order as Yt.
Yt = SBt . So ˆYn(h) = Sβn(h) + εh .
βn(h) = E[Bn+h | Y1, . . . , Yn].
εh has zero mean and covariance Σh.
Estimate βn(h) using GLS?
hts: R tools for hierarchical time series 8
34. Forecasts
Key idea: forecast reconciliation
¯ Ignore structural constraints and forecast
every series of interest independently.
¯ Adjust forecasts to impose constraints.
Let ˆYn(h) be vector of initial h-step forecasts,
made at time n, stacked in same order as Yt.
Yt = SBt . So ˆYn(h) = Sβn(h) + εh .
βn(h) = E[Bn+h | Y1, . . . , Yn].
εh has zero mean and covariance Σh.
Estimate βn(h) using GLS?
hts: R tools for hierarchical time series 8
35. Forecasts
Key idea: forecast reconciliation
¯ Ignore structural constraints and forecast
every series of interest independently.
¯ Adjust forecasts to impose constraints.
Let ˆYn(h) be vector of initial h-step forecasts,
made at time n, stacked in same order as Yt.
Yt = SBt . So ˆYn(h) = Sβn(h) + εh .
βn(h) = E[Bn+h | Y1, . . . , Yn].
εh has zero mean and covariance Σh.
Estimate βn(h) using GLS?
hts: R tools for hierarchical time series 8
36. Forecasts
Key idea: forecast reconciliation
¯ Ignore structural constraints and forecast
every series of interest independently.
¯ Adjust forecasts to impose constraints.
Let ˆYn(h) be vector of initial h-step forecasts,
made at time n, stacked in same order as Yt.
Yt = SBt . So ˆYn(h) = Sβn(h) + εh .
βn(h) = E[Bn+h | Y1, . . . , Yn].
εh has zero mean and covariance Σh.
Estimate βn(h) using GLS?
hts: R tools for hierarchical time series 8
37. Optimal combination forecasts
˜Yn(h) = S ˆβn(h) = S(S Σ†
hS)−1
S Σ†
h
ˆYn(h)
Σ†
h is generalized inverse of Σh.
Problem: Σh hard to estimate.
Solution: Assume εh ≈ SεK,h where εK,h is
the forecast error at bottom level.
Then Σh ≈ SΩhS where Ωh = Var(εK,h).
If Moore-Penrose generalized inverse used,
then (S Σ†
S)−1
S Σ†
= (S S)−1
S .
˜Yn(h) = S(S S)−1
S ˆYn(h)
hts: R tools for hierarchical time series 9
38. Optimal combination forecasts
˜Yn(h) = S ˆβn(h) = S(S Σ†
hS)−1
S Σ†
h
ˆYn(h)
Initial forecasts
Σ†
h is generalized inverse of Σh.
Problem: Σh hard to estimate.
Solution: Assume εh ≈ SεK,h where εK,h is
the forecast error at bottom level.
Then Σh ≈ SΩhS where Ωh = Var(εK,h).
If Moore-Penrose generalized inverse used,
then (S Σ†
S)−1
S Σ†
= (S S)−1
S .
˜Yn(h) = S(S S)−1
S ˆYn(h)
hts: R tools for hierarchical time series 9
39. Optimal combination forecasts
˜Yn(h) = S ˆβn(h) = S(S Σ†
hS)−1
S Σ†
h
ˆYn(h)
Revised forecasts Initial forecasts
Σ†
h is generalized inverse of Σh.
Problem: Σh hard to estimate.
Solution: Assume εh ≈ SεK,h where εK,h is
the forecast error at bottom level.
Then Σh ≈ SΩhS where Ωh = Var(εK,h).
If Moore-Penrose generalized inverse used,
then (S Σ†
S)−1
S Σ†
= (S S)−1
S .
˜Yn(h) = S(S S)−1
S ˆYn(h)
hts: R tools for hierarchical time series 9
40. Optimal combination forecasts
˜Yn(h) = S ˆβn(h) = S(S Σ†
hS)−1
S Σ†
h
ˆYn(h)
Revised forecasts Initial forecasts
Σ†
h is generalized inverse of Σh.
Problem: Σh hard to estimate.
Solution: Assume εh ≈ SεK,h where εK,h is
the forecast error at bottom level.
Then Σh ≈ SΩhS where Ωh = Var(εK,h).
If Moore-Penrose generalized inverse used,
then (S Σ†
S)−1
S Σ†
= (S S)−1
S .
˜Yn(h) = S(S S)−1
S ˆYn(h)
hts: R tools for hierarchical time series 9
41. Optimal combination forecasts
˜Yn(h) = S ˆβn(h) = S(S Σ†
hS)−1
S Σ†
h
ˆYn(h)
Revised forecasts Initial forecasts
Σ†
h is generalized inverse of Σh.
Problem: Σh hard to estimate.
Solution: Assume εh ≈ SεK,h where εK,h is
the forecast error at bottom level.
Then Σh ≈ SΩhS where Ωh = Var(εK,h).
If Moore-Penrose generalized inverse used,
then (S Σ†
S)−1
S Σ†
= (S S)−1
S .
˜Yn(h) = S(S S)−1
S ˆYn(h)
hts: R tools for hierarchical time series 9
42. Optimal combination forecasts
˜Yn(h) = S ˆβn(h) = S(S Σ†
hS)−1
S Σ†
h
ˆYn(h)
Revised forecasts Initial forecasts
Σ†
h is generalized inverse of Σh.
Problem: Σh hard to estimate.
Solution: Assume εh ≈ SεK,h where εK,h is
the forecast error at bottom level.
Then Σh ≈ SΩhS where Ωh = Var(εK,h).
If Moore-Penrose generalized inverse used,
then (S Σ†
S)−1
S Σ†
= (S S)−1
S .
˜Yn(h) = S(S S)−1
S ˆYn(h)
hts: R tools for hierarchical time series 9
43. Optimal combination forecasts
˜Yn(h) = S ˆβn(h) = S(S Σ†
hS)−1
S Σ†
h
ˆYn(h)
Revised forecasts Initial forecasts
Σ†
h is generalized inverse of Σh.
Problem: Σh hard to estimate.
Solution: Assume εh ≈ SεK,h where εK,h is
the forecast error at bottom level.
Then Σh ≈ SΩhS where Ωh = Var(εK,h).
If Moore-Penrose generalized inverse used,
then (S Σ†
S)−1
S Σ†
= (S S)−1
S .
˜Yn(h) = S(S S)−1
S ˆYn(h)
hts: R tools for hierarchical time series 9
44. Optimal combination forecasts
˜Yn(h) = S ˆβn(h) = S(S Σ†
hS)−1
S Σ†
h
ˆYn(h)
Revised forecasts Initial forecasts
Σ†
h is generalized inverse of Σh.
Problem: Σh hard to estimate.
Solution: Assume εh ≈ SεK,h where εK,h is
the forecast error at bottom level.
Then Σh ≈ SΩhS where Ωh = Var(εK,h).
If Moore-Penrose generalized inverse used,
then (S Σ†
S)−1
S Σ†
= (S S)−1
S .
˜Yn(h) = S(S S)−1
S ˆYn(h)
hts: R tools for hierarchical time series 9
45. Optimal combination forecasts
˜Yn(h) = S ˆβn(h) = S(S Σ†
hS)−1
S Σ†
h
ˆYn(h)
Revised forecasts Initial forecasts
Σ†
h is generalized inverse of Σh.
Problem: Σh hard to estimate.
Solution: Assume εh ≈ SεK,h where εK,h is
the forecast error at bottom level.
Then Σh ≈ SΩhS where Ωh = Var(εK,h).
If Moore-Penrose generalized inverse used,
then (S Σ†
S)−1
S Σ†
= (S S)−1
S .
˜Yn(h) = S(S S)−1
S ˆYn(h)
hts: R tools for hierarchical time series 9
46. Optimal combination forecasts
˜Yn(h) = S ˆβn(h) = S(S Σ†
hS)−1
S Σ†
h
ˆYn(h)
Revised forecasts Initial forecasts
Σ†
h is generalized inverse of Σh.
Problem: Σh hard to estimate.
Solution: Assume εh ≈ SεK,h where εK,h is
the forecast error at bottom level.
Then Σh ≈ SΩhS where Ωh = Var(εK,h).
If Moore-Penrose generalized inverse used,
then (S Σ†
S)−1
S Σ†
= (S S)−1
S .
˜Yn(h) = S(S S)−1
S ˆYn(h)
hts: R tools for hierarchical time series 9
47. Optimal combination forecasts
˜Yn(h) = S(S S)−1
S ˆYn(h)
GLS = OLS.
Optimal weighted average of initial
forecasts.
Optimal reconciliation weights are
S(S S)−1
S .
Weights are independent of the data and
of the covariance structure of the
hierarchy!
hts: R tools for hierarchical time series 10
48. Optimal combination forecasts
˜Yn(h) = S(S S)−1
S ˆYn(h)
GLS = OLS.
Optimal weighted average of initial
forecasts.
Optimal reconciliation weights are
S(S S)−1
S .
Weights are independent of the data and
of the covariance structure of the
hierarchy!
hts: R tools for hierarchical time series 10
49. Optimal combination forecasts
˜Yn(h) = S(S S)−1
S ˆYn(h)
GLS = OLS.
Optimal weighted average of initial
forecasts.
Optimal reconciliation weights are
S(S S)−1
S .
Weights are independent of the data and
of the covariance structure of the
hierarchy!
hts: R tools for hierarchical time series 10
50. Optimal combination forecasts
˜Yn(h) = S(S S)−1
S ˆYn(h)
GLS = OLS.
Optimal weighted average of initial
forecasts.
Optimal reconciliation weights are
S(S S)−1
S .
Weights are independent of the data and
of the covariance structure of the
hierarchy!
hts: R tools for hierarchical time series 10
53. Features
Forget “bottom up” or “top down”. This
approach combines all forecasts optimally.
Method outperforms bottom-up and
top-down, especially for middle levels.
Covariates can be included in initial forecasts.
Adjustments can be made to initial forecasts
at any level.
Very simple and flexible method. Can work
with any hierarchical or grouped time series.
Conceptually easy to implement: OLS on
base forecasts.
hts: R tools for hierarchical time series 12
54. Features
Forget “bottom up” or “top down”. This
approach combines all forecasts optimally.
Method outperforms bottom-up and
top-down, especially for middle levels.
Covariates can be included in initial forecasts.
Adjustments can be made to initial forecasts
at any level.
Very simple and flexible method. Can work
with any hierarchical or grouped time series.
Conceptually easy to implement: OLS on
base forecasts.
hts: R tools for hierarchical time series 12
55. Features
Forget “bottom up” or “top down”. This
approach combines all forecasts optimally.
Method outperforms bottom-up and
top-down, especially for middle levels.
Covariates can be included in initial forecasts.
Adjustments can be made to initial forecasts
at any level.
Very simple and flexible method. Can work
with any hierarchical or grouped time series.
Conceptually easy to implement: OLS on
base forecasts.
hts: R tools for hierarchical time series 12
56. Features
Forget “bottom up” or “top down”. This
approach combines all forecasts optimally.
Method outperforms bottom-up and
top-down, especially for middle levels.
Covariates can be included in initial forecasts.
Adjustments can be made to initial forecasts
at any level.
Very simple and flexible method. Can work
with any hierarchical or grouped time series.
Conceptually easy to implement: OLS on
base forecasts.
hts: R tools for hierarchical time series 12
57. Features
Forget “bottom up” or “top down”. This
approach combines all forecasts optimally.
Method outperforms bottom-up and
top-down, especially for middle levels.
Covariates can be included in initial forecasts.
Adjustments can be made to initial forecasts
at any level.
Very simple and flexible method. Can work
with any hierarchical or grouped time series.
Conceptually easy to implement: OLS on
base forecasts.
hts: R tools for hierarchical time series 12
58. Features
Forget “bottom up” or “top down”. This
approach combines all forecasts optimally.
Method outperforms bottom-up and
top-down, especially for middle levels.
Covariates can be included in initial forecasts.
Adjustments can be made to initial forecasts
at any level.
Very simple and flexible method. Can work
with any hierarchical or grouped time series.
Conceptually easy to implement: OLS on
base forecasts.
hts: R tools for hierarchical time series 12
59. Challenges
Computational difficulties in big
hierarchies due to size of the S matrix and
non-singular behavior of (S S).
Need to estimate covariance matrix to
produce prediction intervals.
hts: R tools for hierarchical time series 13
60. Challenges
Computational difficulties in big
hierarchies due to size of the S matrix and
non-singular behavior of (S S).
Need to estimate covariance matrix to
produce prediction intervals.
hts: R tools for hierarchical time series 13
61. hts package for R
hts: R tools for hierarchical time series 14
hts: Hierarchical and grouped time series
Methods for analysing and forecasting hierarchical and grouped
time series
Version: 3.01
Depends: forecast
Imports: SparseM
Published: 2013-05-07
Author: Rob J Hyndman, Roman A Ahmed, and Han Lin Shang
Maintainer: Rob J Hyndman <Rob.Hyndman at monash.edu>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
62. Example using R
library(hts)
# bts is a matrix containing the bottom level time series
# g describes the grouping/hierarchical structure
y <- hts(bts, g=c(1,1,2,2))
hts: R tools for hierarchical time series 15
63. Example using R
library(hts)
# bts is a matrix containing the bottom level time series
# g describes the grouping/hierarchical structure
y <- hts(bts, g=c(1,1,2,2))
hts: R tools for hierarchical time series 15
Total
A
AX AY
B
BX BY
64. Example using R
library(hts)
# bts is a matrix containing the bottom level time series
# g describes the grouping/hierarchical structure
y <- hts(bts, g=c(1,1,2,2))
# Forecast 10-step-ahead using optimal combination method
# ETS used for each series by default
fc <- forecast(y, h=10)
hts: R tools for hierarchical time series 16
65. Example using R
library(hts)
# bts is a matrix containing the bottom level time series
# g describes the grouping/hierarchical structure
y <- hts(bts, g=c(1,1,2,2))
# Forecast 10-step-ahead using optimal combination method
# ETS used for each series by default
fc <- forecast(y, h=10)
# Select your own methods
ally <- allts(y)
allf <- matrix(, nrow=10, ncol=ncol(ally))
for(i in 1:ncol(ally))
allf[,i] <- mymethod(ally[,i], h=10)
allf <- ts(allf, start=2004)
# Reconcile forecasts so they add up
fc2 <- combinef(allf, Smatrix(y))
hts: R tools for hierarchical time series 17
66. hts function
Usage
hts(y, g)
gts(y, g, hierarchical=FALSE)
Arguments
y Multivariate time series containing the bot-
tom level series
g Group matrix indicating the group structure,
with one column for each series when com-
pletely disaggregated, and one row for each
grouping of the time series.
hierarchical Indicates if the grouping matrix should be
treated as hierarchical.
Details
hts is simply a wrapper for gts(y,g,TRUE). Both return an
object of class gts.
hts: R tools for hierarchical time series 18
67. forecast.gts function
Usage
forecast(object, h,
method = c("comb", "bu", "mo", "tdgsf", "tdgsa", "tdfp", "all"),
fmethod = c("ets", "rw", "arima"), level, positive = FALSE,
xreg = NULL, newxreg = NULL, ...)
Arguments
object Hierarchical time series object of class gts.
h Forecast horizon
method Method for distributing forecasts within the hierarchy.
fmethod Forecasting method to use
level Level used for "middle-out" method (when method="mo")
positive If TRUE, forecasts are forced to be strictly positive
xreg When fmethod = "arima", a vector or matrix of external re-
gressors, which must have the same number of rows as the
original univariate time series
newxreg When fmethod = "arima", a vector or matrix of external re-
gressors, which must have the same number of rows as the
original univariate time series
... Other arguments passing to ets or auto.arima
hts: R tools for hierarchical time series 19
68. Utility functions
allts(y) Returns all series in the
hierarchy
Smatrix(y) Returns the summing matrix
combinef(f) Combines initial forecasts
optimally.
hts: R tools for hierarchical time series 20
70. References
RJ Hyndman, RA Ahmed, G Athanasopoulos, and
HL Shang (2011). “Optimal combination
forecasts for hierarchical time series”.
Computational Statistics and Data Analysis
55(9), 2579–2589
RJ Hyndman, RA Ahmed, and HL Shang (2013).
hts: Hierarchical time series.
cran.r-project.org/package=hts.
RJ Hyndman and G Athanasopoulos (2013).
Forecasting: principles and practice. OTexts.
OTexts.com/fpp/.
hts: R tools for hierarchical time series 22