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reconciliation with immutable forecasts #352
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This would be great, I recently heard about this work. |
It can be applied to all kinds of weighting matrix in mint. |
Yes, that's what I expected. So I think this should be implemented a bit more generally as part of the reconciliation rewrite. Do you have some sample code available for your method that I can consider for this rewrite? |
I implemented my method in |
Oh, great. Well if it's ready to go then a PR would be great :) |
Keeping base forecasts of some nodes in the hierarchy immutable after reconciliation can be beneficial and necessary sometimes.
I suggest adding this functionality to
forecast.lst_mint_mdl
method.And I can work on it.
References: Zhang, B.; Kang, Y.; Panagiotelis, A.; Li, F. Optimal Reconciliation with Immutable Forecasts. arXiv:2204.09231 [econ, stat] 2022.
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