AngelPone
External Probabilistic forecasts Reconciliation
Hi Team, Currently, I am working on Probabilistic forecasts reconciliation for my one of use case, could not find any packages so would like to know If this package provides the functionality of external probabilistic forecasts reconciliation. I appreciate your quick response to my inquiry for information.
@Manjubn777 probabilistic forecast reconciliation is in our roadmap but it can not be implemented in a short time. I suggest you referring to R package ProbReco for a quick solution.
If you are familiar with probabilistic forecasting with Python, you can sample from the forecast density and use point reconciliation method (e.g., OLS, MinT) to reconcile each sample. It gives samples of reconciled probabilistic forecasts.