teboot {FoReco} | R Documentation |
Temporal joint block bootstrap
Description
Joint block bootstrap for generating probabilistic base forecasts that take into account the correlation between different temporal aggregation orders (Girolimetto et al. 2023).
Usage
teboot(model_list, boot_size, agg_order, block_size = 1, seed = NULL)
Arguments
model_list |
A list of all the |
boot_size |
The number of bootstrap replicates. |
agg_order |
Highest available sampling frequency per seasonal cycle (max. order
of temporal aggregation, |
block_size |
Block size of the bootstrap, which is typically equivalent to the forecast horizon for the most temporally aggregated series. |
seed |
An integer seed. |
Value
A list with two elements: the seed used to sample the errors and
a (\text{boot\_size}\times (k^\ast+m)\text{block\_size}
) matrix.
References
Girolimetto, D., Athanasopoulos, G., Di Fonzo, T. and Hyndman, R.J. (2023), Cross-temporal probabilistic forecast reconciliation: Methodological and practical issues. International Journal of Forecasting, 40(3), 1134-1151. doi:10.1016/j.ijforecast.2023.10.003
See Also
Bootstrap samples:
csboot()
,
ctboot()
Temporal framework:
tebu()
,
tecov()
,
telcc()
,
temo()
,
terec()
,
tetd()
,
tetools()