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Modeling uncertainty in the covariance matrix for probabilistic forecast reconciliation

Carrara, Chiara et al.
arXiv (All) · Papers
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computationmethodology
In minimum trace (MinT) forecast reconciliation, the covariance matrix of the base forecast errors plays a crucial role. Typically, this matrix is estimated and then treated as known. This can lead to an underestimation of the variance of the predictive distribution. To address the problem, we propo
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