[Dottorcomp] Seminari di Matematica Applicata. Martedì 24 maggio. Giorgio Corani.

[Stefano Lisini]

Seminari di Matematica Applicata, Dipartimento di Matematica "F. Casorati"
e Istituto del CNR IMATI "E. Magenes" di Pavia.

Martedì 24 maggio 2022, alle ore 15.00 precise, presso l'aula Beltrami del
Dipartimento di Matematica,

Giorgio Corani <http://www.idsia.ch/~giorgio> (IDSIA Lugano, Svizzera)terrà
un seminario dal titolo:

A Bayesian approach to the problem of  forecast reconciliation

Il seminario verrà anche trasmesso in diretta su zoom al link

https://us02web.zoom.us/j/87518137128?pwd=eHg2eG9QZUdydFJEU1NESWN5a1lPQT09

ID riunione: 875 1813 7128
Passcode: 880047

Abstract.
Often time series are organized into a hierarchy. For example, the total
visitors of a country can be divided into regions and the visitors of each
region can be further divided into sub-regions. Forecasts of hierarchical
time series should be coherent; for instance, the sum of the forecasts of
the different regions should equal the forecast for the total. The
forecasts are incoherent if they do not satisfy such constraints.
Reconciliation methods proceed in two steps. First, base forecasts are
computed by fitting an independent model to each time series and ignoring
the sum constraints. Then, the base forecasts are adjusted to become
coherent; this step is called reconciliation. Besides being coherent,
reconciled forecasts are generally more accurate than the base forecasts,
as they benefit from information coming from multiple time series.
In this talk, we show how to forecast reconciliation can be addressed by
taking a Bayesian viewpoint.

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Pagina web dei Seminari di Matematica Applicata
https://matematica.unipv.it/ricerca/cicli-di-seminari/seminari-di-matematica-applicata/
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