Simultaneous and two-step reconciliation of systems of time series: methodological and practical issues


Tommaso Di Fonzo, Dipartimento di Scienze Statistiche, Università di Padova, Via C. Battisti 241, 35121 Padova, Italy.


Summary.  The reconciliation of systems of time series subject to both temporal and contemporaneous constraints can be solved in such a way that the temporal profiles of the original series be preserved ‘at best’ (the movement preservation principle). A new feasible simultaneous reconciliation procedure is presented, which exploits the sparsity of the linear system to be solved. A two-step reconciliation strategy might be more suitable in the case of large systems. We compare the results of the simultaneous and two-step approaches for two data sets from real life.