Probabilistic Reconciliation via Conditioning with bayesRecon

Nicolò Rubattu, Giorgio Corani, Dario Azzimonti, Lorenzo Zambon

2023-11-26

Introduction

This vignette shows how to perform probabilistic reconciliation with the bayesRecon package. We provide three examples:

  1. Temporal hierarchy for a count time series: we build a temporal hierarchy over a count time series, produce the base forecasts using glarma and reconcile them via Bottom-Up Importance Sampling (BUIS).

  2. Temporal hierarchy for a smooth time series: we build a temporal hierarchy over a smooth time series, compute the base forecasts using ets and we reconcile them in closed form using Gaussian reconciliation. The covariance matrix is diagonal.

  3. Hierarchical of smooth time series: this is an example of a cross-sectional hierarchy. We generate the base forecasts using ets and we reconcile them via Gaussian reconciliation. The covariance matrix is full and estimated via shrinkage.

Installation

The package, available at this CRAN page, can be installed and loaded with the usual commands:

install.packages('bayesRecon', dependencies = TRUE)

Load the package:

library(bayesRecon)

Temporal hierarchy over a count time series

We select a monthly time series of counts from the carparts dataset, available from the expsmooth package (R. J. Hyndman 2015). The data set contains time series of sales of cars part from Jan. 1998 to Mar. 2002. For this example we select time series #2655, which we make available as bayesRecon::carparts_example.

This time series has a skewed distribution of values.

layout(mat = matrix(c(1, 2), nrow = 1, ncol = 2), widths = c(2, 1))
plot(carparts_example, xlab = "Time", ylab = "Car part sales", main = NULL)
hist(carparts_example, xlab = "Car part sales", main = NULL)
**Figure 1**: Carpart - monthly car part sales.

Figure 1: Carpart - monthly car part sales.



We divide the time series into train and test; the test set contains the last 12 months.

train <- window(carparts_example, end = c(2001, 3))
test  <- window(carparts_example, start = c(2001, 4))

We build the temporal hierarchy using the temporal aggregation function. We specify the aggregation levels using the agg_levels argument; in this case they are 2-Monthly, Quarterly, 4-Monthly, Biannual, and Annual.

train.agg <- bayesRecon::temporal_aggregation(train, agg_levels = c(2, 3, 4, 6, 12))
levels <- c("Annual", "Biannual", "4-Monthly", "Quarterly", "2-Monthly", "Monthly")
names(train.agg) <- levels

The function returns a list of aggregated time series, ordered from the most aggregated (top of the hierarchy) to the most disagreggated (bottom of the hierarchy). We plot them below.

par(mfrow = c(2, 3), mai = c(0.6, 0.6, 0.5, 0.5))
for (l in levels) {
  plot(train.agg[[l]], xlab = "Time", ylab = "Car part sales", main = l)
}
**Figure 2**: The aggregated time series of the temporal hierarchy.

Figure 2: The aggregated time series of the temporal hierarchy.



We compute the base forecasts using the package glarma, a package specific for forecasting count time series. We forecast 12 steps ahead at the monthly level, 4 steps ahead at the quarterly level, etc. by iterating over the levels of the hierarchy, At each level, we fit a glarma model with Poisson predictive distribution and we forecast; each forecast is constituted by 20000 integer samples.

Eventually we collect the samples of the 28 predictive distributions (one at the Annual level, two at the Biannual level, etc.) in a list. The code below takes about 30 seconds on a standard computer.

# install.packages("glarma", dependencies = TRUE)
#library(glarma)

fc.samples <- list()
D <- 20000
fc.count <- 1

# iterating over the temporal aggregation levels
for (l in seq_along(train.agg)) {
  f.level <- frequency(train.agg[[l]])
  print(paste("Forecasting at ", levels[l], "...", sep = ""))
  # fit an independent model for each aggregation level
  model <- glarma::glarma(
    train.agg[[l]],
    phiLags = if (f.level == 1) 1 else 1:(min(6, f.level - 1)),
    thetaLags = if (f.level == 1) NULL else f.level,
    X = cbind(intercept = rep(1, length(train.agg[[l]]))),
    offset = cbind(intercept = rep(0, length(train.agg[[l]]))),
    type = "Poi"
  )
  # forecast 1 year ahead
  h <- f.level
  tmp <- matrix(data = NA, nrow = h, ncol = D)
  for (s in (1:D)) {
    # each call to 'forecast.glarma' returns a simulation path
    tmp[, s] <- glarma::forecast(
      model,
      n.ahead = h,
      newdata = cbind(intercept = rep(1, h)),
      newoffset = rep(0, h)
    )$Y
  }
  # collect the forecasted samples
  for (i in 1:h) {
    fc.samples[[fc.count]] <- tmp[i, ]
    fc.count <- fc.count + 1
  }
}
#> [1] "Forecasting at Annual..."
#> [1] "Forecasting at Biannual..."
#> [1] "Forecasting at 4-Monthly..."
#> [1] "Forecasting at Quarterly..."
#> [1] "Forecasting at 2-Monthly..."
#> [1] "Forecasting at Monthly..."

Reconciliation requires the summing matrix \(\mathbf{S}\), which we obtain using the function get_reconc_matrices. It requires:

recon.matrices <- bayesRecon::get_reconc_matrices(agg_levels = c(2, 3, 4, 6, 12), h = 12)
# Summing matrix
S <- recon.matrices$S 
# A matrix
A <- recon.matrices$A 

To reconcile using Bottom-Up Important Sampling (BUIS) we we use the function reconc_BUIS, passing to it the \(\mathbf{S}\) matrix, the base forecasts, the type of the base forecasts (in_type=“samples”) and whether the samples are discrete or integer (distr = “discrete”).

recon.res <- bayesRecon::reconc_BUIS(
  S,
  base_forecasts = fc.samples,
  in_type = "samples",
  distr = "discrete",
  seed = 42
)

Here we obtain samples from the reconciled forecast distribution.

reconciled_samples <- recon.res$reconciled_samples
dim(reconciled_samples)
#> [1]    28 20000

We now compute the Mean Absolute Error (MAE) and the Continuous Ranked Probability Score (CRPS) for the bottom (i.e., monthly) time series. For computing CRPS, we use the package scoringRules.

# install.packages("scoringRules", dependencies = TRUE)
library(scoringRules)

ae.fc <- list()
ae.reconc <- list()
crps.fc <- list()
crps.reconc <- list()
for (h in 1:length(test)) {
  y.hat_ <- median(fc.samples[[nrow(A) + h]])
  y.reconc_ <- median(recon.res$bottom_reconciled_samples[, h])
  # Compute Absolute Errors
  ae.fc[[h]] <- abs(test[h] - y.hat_)
  ae.reconc[[h]] <- abs(test[h] - y.reconc_)
  # Compute Continuous Ranked Probability Score (CRPS)
  crps.fc[[h]] <-
    scoringRules::crps_sample(y = test[h], dat = fc.samples[[nrow(A) + h]])
  crps.reconc[[h]] <-
    scoringRules::crps_sample(y = test[h], dat = recon.res$bottom_reconciled_samples[, h])
}

mae.fc <- mean(unlist(ae.fc))
mae.reconc <- mean(unlist(ae.reconc))
crps.fc <- mean(unlist(crps.fc))
crps.reconc <- mean(unlist(crps.reconc))
metrics <- data.frame(
  row.names = c("MAE", "CRPS"),
  base.forecasts = c(mae.fc, crps.fc),
  reconciled.forecasts = c(mae.reconc, crps.reconc)
)
metrics
#>      base.forecasts reconciled.forecasts
#> MAE       1.2500000            1.0416667
#> CRPS      0.7093284            0.6840278

Temporal hierarchy over a smooth time series

In this second example, we select a smooth monthly time series (N1485) from the M3 forecasting competition (Makridakis and Hibon 2000). The data set is available in the Mcomp package (R. Hyndman 2018) and we make available this time series as bayesRecon::m3_example.

plot(M3_example$train, xlab = "Time", ylab = "y", main = "N1485")
**Figure 3**: M3 - N1485 time series.

Figure 3: M3 - N1485 time series.


We build the temporal hierarchy using the temporal_aggregation function.

Without specifying agg_levels, the function generates by default all the feasible aggregation: 2-Monthly, Quarterly, 4-Monthly, Biannual, and Annual.

train.agg <- bayesRecon::temporal_aggregation(M3_example$train)
levels <- c("Annual", "Biannual", "4-Monthly", "Quarterly", "2-Monthly", "Monthly")
names(train.agg) <- levels

We generate the base forecasts using ets from the forecast package (R. J. Hyndman and Khandakar 2008). At every level we predict 18 months ahead. All the predictive distributions are Gaussian.

# install.packages("forecast", dependencies = TRUE)
library(forecast)
#> Registered S3 method overwritten by 'quantmod':
#>   method            from
#>   as.zoo.data.frame zoo

H <- length(M3_example$test)
H
#> [1] 18

fc <- list()
level.idx <- 1
fc.idx <- 1
for (level in train.agg) {
  level.name <- names(train.agg)[level.idx]
  # fit an ETS model for each temporal level
  model <- ets(level)
  # generate forecasts for each level within 18 months
  h <- floor(H / (12 / frequency(level)))
  print(paste("Forecasting at ", level.name, ", h=", h, "...", sep = ""))
  level.fc <- forecast(model, h = h)
  # save mean and sd of the gaussian predictive distribution
  for (i in 1:h) {
    fc[[fc.idx]] <- c(level.fc$mean[[i]],
                      (level.fc$upper[, "95%"][[i]] - level.fc$mean[[i]]) / qnorm(0.975))
    fc.idx <- fc.idx + 1
  }
  level.idx <- level.idx + 1
}
#> [1] "Forecasting at Annual, h=1..."
#> [1] "Forecasting at Biannual, h=3..."
#> [1] "Forecasting at 4-Monthly, h=4..."
#> [1] "Forecasting at Quarterly, h=6..."
#> [1] "Forecasting at 2-Monthly, h=9..."
#> [1] "Forecasting at Monthly, h=18..."

Using the function get_reconc_matrices, we get matrix \(\mathbf{S}\).

rmat <- get_reconc_matrices(agg_levels = c(2, 3, 4, 6, 12), h = 18)

par(mai = c(1,1,0.5,0.5))
image(1:ncol(rmat$A), 1:nrow(rmat$A), 
      t(apply(t(rmat$A),1,rev)), 
      xaxt='n', yaxt='n', ylab = "", xlab = levels[6])
axis(1, at=1:ncol(rmat$A), label=1:ncol(rmat$A), las=1)
axis(2, at=c(23,22,19,15,9), label=levels[1:5], las=2)
**Figure 4**: M3 - The aggregating matrix A (red=1, yellow=0).

Figure 4: M3 - The aggregating matrix A (red=1, yellow=0).


The function reconc_gaussian implements the exact Gaussian reconciliation. We also run reconc_BUIS, to check the consistency between the two approaches.

recon.gauss <- bayesRecon::reconc_gaussian(
  S = rmat$S,
  base_forecasts.mu = sapply(fc, "[[", 1),
  base_forecasts.Sigma = diag(sapply(fc, "[[", 2)) ^ 2
)

reconc.buis <- bayesRecon::reconc_BUIS(
  S = rmat$S,
  base_forecasts = fc,
  in_type = "params",
  distr = "gaussian",
  num_samples = 20000,
  seed = 42
)

# check that the algorithms return consistent results
round(rbind(
  c(rmat$S %*% recon.gauss$bottom_reconciled_mean),
  rowMeans(reconc.buis$reconciled_samples)
))
#>       [,1]  [,2]  [,3]  [,4]  [,5]  [,6]  [,7]  [,8]  [,9] [,10] [,11] [,12]
#> [1,] 74977 35913 39063 41491 23520 25136 26321 27174 17464 18450 19251 19812
#> [2,] 74946 35897 39049 41470 23532 25091 26323 27134 17462 18435 19231 19818
#>      [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24]
#> [1,] 20412 21079 11527 11993 12393 12743 13047 13274 13531 13643 14317  5694
#> [2,] 20425 21046 11547 11985 12365 12726 13041 13282 13482 13652 14336  5694
#>      [,25] [,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36]
#> [1,]  5833  5936  6056  6138  6255  6324  6419  6508  6538  6619  6655  6759
#> [2,]  5853  5914  6070  6127  6237  6308  6418  6505  6536  6612  6670  6729
#>      [,37] [,38] [,39] [,40] [,41]
#> [1,]  6772  6881  6762  7160  7157
#> [2,]  6753  6943  6709  7152  7184

We now compare base forecasts and reconciled forecasts:

yhat.mu <- tail(sapply(fc, "[[", 1), 18)
yhat.sigma <- tail(sapply(fc, "[[", 2), 18)
yhat.hi95 <- qnorm(0.975, mean = yhat.mu, sd = yhat.sigma)
yhat.lo95 <- qnorm(0.025, mean = yhat.mu, sd = yhat.sigma)
yreconc.mu <- rowMeans(reconc.buis$bottom_reconciled_samples)
yreconc.hi95 <- apply(reconc.buis$bottom_reconciled_samples, 1, 
                      function(x) quantile(x, 0.975))
yreconc.lo95 <- apply(reconc.buis$bottom_reconciled_samples, 1, 
                      function(x) quantile(x, 0.025))

ylim_ <- c(min(M3_example$train, M3_example$test, yhat.lo95, yreconc.lo95) - 1, 
           max(M3_example$train, M3_example$test, yhat.hi95, yreconc.hi95) + 1)

plot(M3_example$train, xlim = c(1990, 1995.6), ylim = ylim_, 
     ylab = "y", main = "N1485 Forecasts")
lines(M3_example$test, lty = "dashed")
lines(ts(yhat.mu, start = start(M3_example$test), frequency = 12), 
      col = "coral", lwd = 2)
lines(ts(yreconc.mu, start = start(M3_example$test), frequency = 12), 
      col = "blue2", lwd = 2)
xtest <- time(M3_example$test)
polygon(c(xtest, rev(xtest)), c(yhat.mu, rev(yhat.hi95)), 
        col = "#FF7F5066", border = "#FF7F5066")
polygon(c(xtest, rev(xtest)), c(yhat.mu, rev(yhat.lo95)), 
        col = "#FF7F5066", border = "#FF7F5066")
polygon(c(xtest, rev(xtest)), c(yreconc.mu, rev(yreconc.hi95)), 
        col = "#0000EE4D", border = "#0000EE4D")
polygon(c(xtest, rev(xtest)), c(yreconc.mu, rev(yreconc.lo95)), 
        col = "#0000EE4D", border = "#0000EE4D")
**Figure 5**: M3 - Base and reconciled forecasts. The black line shows the actual data (dashed in the test). The orange line is the  mean of the base forecasts, the blu line is the reconciled mean. We also show the 95% prediction intervals.

Figure 5: M3 - Base and reconciled forecasts. The black line shows the actual data (dashed in the test). The orange line is the mean of the base forecasts, the blu line is the reconciled mean. We also show the 95% prediction intervals.

Gaussian reconciliation of a cross-sectional hierarchy

In this example, we consider the hierarchical time series infantgts, which is available from the hts package (R. Hyndman et al. 2021) We make it available also in our package as bayesRecon::infantMortality.

It contains counts of infant mortality (deaths) in Australia, disaggregated by state and sex (male and female).

We forecast one year ahead using auto.arima from the forecast package. We collect the residuals, which we will later use to compute the covariance matrix.

# install.packages("forecast", dependencies = TRUE)
library(forecast)

fc <- list()
residuals <- matrix(NA,
                    nrow = length(infantMortality$total),
                    ncol = length(infantMortality))
fc.idx <- 1
for (s in infantMortality) {
  s.name <- names(infantMortality)[fc.idx]
  print(paste("Forecasting at ", s.name, "...", sep = ""))
  # fit an auto.arima model and forecast with h=1
  model <- auto.arima(s)
  s.fc <- forecast(model, h = 1)
  # save mean and sd of the gaussian predictive distribution
  fc[[s.name]] <- c(s.fc$mean,
                    (s.fc$upper[, "95%"][[1]] - s.fc$mean) / qnorm(0.975))
  residuals[, fc.idx] <- s.fc$residuals
  fc.idx <- fc.idx + 1
}
#> [1] "Forecasting at total..."
#> [1] "Forecasting at NSW..."
#> [1] "Forecasting at VIC..."
#> [1] "Forecasting at QLD..."
#> [1] "Forecasting at SA..."
#> [1] "Forecasting at WA..."
#> [1] "Forecasting at NT..."
#> [1] "Forecasting at ACT..."
#> [1] "Forecasting at TAS..."
#> [1] "Forecasting at male..."
#> [1] "Forecasting at female..."
#> [1] "Forecasting at NSW male..."
#> [1] "Forecasting at NSW female..."
#> [1] "Forecasting at VIC male..."
#> [1] "Forecasting at VIC female..."
#> [1] "Forecasting at QLD male..."
#> [1] "Forecasting at QLD female..."
#> [1] "Forecasting at SA male..."
#> [1] "Forecasting at SA female..."
#> [1] "Forecasting at WA male..."
#> [1] "Forecasting at WA female..."
#> [1] "Forecasting at NT male..."
#> [1] "Forecasting at NT female..."
#> [1] "Forecasting at ACT male..."
#> [1] "Forecasting at ACT female..."
#> [1] "Forecasting at TAS male..."
#> [1] "Forecasting at TAS female..."

Now we build the \(\mathbf{S}\) matrix.

# we have 16 bottom time series, and 11 upper time series
A <- matrix(data = c(1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,
                     1,1,0,0,0,0,0,0,0,0,0,0,0,0,0,0,
                     0,0,1,1,0,0,0,0,0,0,0,0,0,0,0,0,
                     0,0,0,0,1,1,0,0,0,0,0,0,0,0,0,0,
                     0,0,0,0,0,0,1,1,0,0,0,0,0,0,0,0,
                     0,0,0,0,0,0,0,0,1,1,0,0,0,0,0,0,
                     0,0,0,0,0,0,0,0,0,0,1,1,0,0,0,0,
                     0,0,0,0,0,0,0,0,0,0,0,0,1,1,0,0,
                     0,0,0,0,0,0,0,0,0,0,0,0,0,0,1,1,
                     1,0,1,0,1,0,1,0,1,0,1,0,1,0,1,0,
                     0,1,0,1,0,1,0,1,0,1,0,1,0,1,0,1), byrow=TRUE, ncol = 16)
S <- rbind(A, diag(16))

# plot of A
par(mai = c(1.5,1,0.5,0.5))
image(1:ncol(A), 1:nrow(A), 
      t(apply(t(A),1,rev)), 
      xaxt='n', yaxt='n', ann=FALSE)
axis(1, at=1:ncol(A), label=names(infantMortality)[12:27], las=2)
axis(2, at=c(1:11), label=rev(names(infantMortality)[1:11]), las=2)