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

Authors


Tommaso Di Fonzo, Dipartimento di Scienze Statistiche, Università di Padova, Via C. Battisti 241, 35121 Padova, Italy.
E-mail: difonzo@stat.unipd.it

Abstract

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.

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