timesfm-ts - v1.0.0
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timesfm-hierarchical/src/types
ReconciliationStrategy
Type Alias ReconciliationStrategy
ReconciliationStrategy
:
"bu"
|
"ols"
|
"wls"
|
"mint"
Reconciliation strategy, per Hyndman et al. (2011).
'bu'
Bottom-Up: P = [0 | I_n] — only bottom-level forecasts used.
'ols'
Ordinary LS: P = (SᵀS)⁻¹ Sᵀ — ignores forecast error structure.
'wls'
Weighted LS: W = diag(σ²_1, …, σ²_m) per-level residual variance.
'mint'
Min-Trace: W = full residual covariance (m × m). Best theoretical properties, needs ≥ n observations.
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timesfm-ts - v1.0.0
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Reconciliation strategy, per Hyndman et al. (2011).
'bu'Bottom-Up: P = [0 | I_n] — only bottom-level forecasts used.'ols'Ordinary LS: P = (SᵀS)⁻¹ Sᵀ — ignores forecast error structure.'wls'Weighted LS: W = diag(σ²_1, …, σ²_m) per-level residual variance.'mint'Min-Trace: W = full residual covariance (m × m). Best theoretical properties, needs ≥ n observations.