Metadata-Version: 2.1
Name: probabilistic-reconciliation
Version: 0.0.1
Summary: Probabilistic reconciliation of time series forecasts
Author: Simon Dirmeier
Author-email: sfyrbnd@pm.me
Requires-Python: >=3.9,<3.10
Classifier: Programming Language :: Python :: 3
Classifier: Programming Language :: Python :: 3.9
Requires-Dist: blackjax (>=0.9.6,<0.10.0)
Requires-Dist: chex (>=0.1.5,<0.2.0)
Requires-Dist: flax (>=0.6.1,<0.7.0)
Requires-Dist: numpy (>=1.23.4,<2.0.0)
Requires-Dist: optax (>=0.1.3,<0.2.0)
Requires-Dist: pandas (>=1.5.1,<2.0.0)
Requires-Dist: scipy (>=1.9.3,<2.0.0)
Requires-Dist: statsmodels (>=0.13.2,<0.14.0)
Description-Content-Type: text/markdown

# reconcile

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> Probabilistic reconciliation of time series forecasts

## About

Reconcile implements probabilistic time series forecast reconciliation methods introduced in

1) Zambon, Lorenzo, Dario Azzimonti, and Giorgio Corani. "Probabilistic reconciliation of forecasts via importance sampling." arXiv preprint arXiv:2210.02286 (2022).
2) Panagiotelis, Anastasios, et al. "Probabilistic forecast reconciliation: Properties, evaluation and score optimisation." European Journal of Operational Research (2022).

The package implements

- methods to compute summing/aggregation matrices for grouped and hierarchical time series,
- an abstract base forecasting class,
- reconciliation methods for forecasts based on sampling and optimization

An example application can be found in `examples/reconciliation.py`

## Installation


To install from PyPI, call:

```bash
pip install reconile
```

To install the latest GitHub <RELEASE>, just call the following on the
command line:

```bash
pip install git+https://github.com/dirmeier/reconcile@<RELEASE>
```

## Author

Simon Dirmeier <a href="mailto:sfyrbnd @ pm me">sfyrbnd @ pm me</a>

