diff --git a/DESCRIPTION b/DESCRIPTION index 393ff1b..abd5295 100644 --- a/DESCRIPTION +++ b/DESCRIPTION @@ -1,8 +1,8 @@ Package: bayesRecon Type: Package -Date: 2023-08-23 +Date: 2023-12-19 Title: Probabilistic Reconciliation via Conditioning -Version: 0.1.2 +Version: 0.2.0 Authors@R: c(person(given = "Dario", family = "Azzimonti", role = c("aut","cre"), diff --git a/NEWS.md b/NEWS.md index 97866c0..4cb856a 100644 --- a/NEWS.md +++ b/NEWS.md @@ -1,3 +1,13 @@ +# bayesRecon 0.2.0 + +* Vignette "Properties of the reconciled distribution via conditioning" + +* Added option in `reconc_BUIS` to pass some base forecast as parameters and some as samples + +* Added option in `reconc_BUIS` to input a list of distributions instead of a string. + +* Fixed bugs and closed github issues. + # bayesRecon 0.1.2 * Vignette "Probabilistic Reconciliation via Conditioning with bayesRecon". diff --git a/README.Rmd b/README.Rmd index d76b0c1..9d3e8cd 100644 --- a/README.Rmd +++ b/README.Rmd @@ -36,6 +36,8 @@ The main functions are: * `reconc_MCMC`: a generic tool for the reconciliation of probabilistic count time series forecasts via Markov Chain Monte Carlo. ## News +:boom: [2023-12-19] Added the vignette "Properties of the reconciled distribution via conditioning". + :boom: [2023-08-23] Added the vignette "Probabilistic Reconciliation via Conditioning with bayesRecon". Added the `schaferStrimmer_cov` function. :boom: [2023-05-26] bayesRecon v0.1.0 is released! diff --git a/README.md b/README.md index 10e2d7d..44d789f 100644 --- a/README.md +++ b/README.md @@ -33,6 +33,9 @@ The main functions are: ## News +:boom: \[2023-12-19\] Added the vignette “Properties of the reconciled +distribution via conditioning”. + :boom: \[2023-08-23\] Added the vignette “Probabilistic Reconciliation via Conditioning with bayesRecon”. Added the `schaferStrimmer_cov` function. diff --git a/vignettes/reconciliation_properties.Rmd b/vignettes/reconciliation_properties.Rmd index 3dc2025..b9c43bf 100644 --- a/vignettes/reconciliation_properties.Rmd +++ b/vignettes/reconciliation_properties.Rmd @@ -1,7 +1,7 @@ --- title: "Properties of the reconciled distribution via conditioning" author: "Lorenzo Zambon, Giorgio Corani" -# date: "2023-12-05" +date: "2023-12-19" lang: "en" output: rmarkdown::html_vignette bibliography: references.bib @@ -22,8 +22,8 @@ knitr::opts_chunk$set( # Introduction This vignette reproduces the results of the paper *Properties of the reconciled distributions for Gaussian and count forecasts* [@zambon2023properties], -accepted by the International Journal of Forecasting for publication. -We replicate here the main experiment of the paper, where we reconcile base forecasts constituted by negative binomial distributions. +accepted for publication in the International Journal of Forecasting. +We replicate here the main experiment of the paper (see sec. 3, @zambon2023properties) where we reconcile base forecasts constituted by negative binomial distributions. We use the R package `BayesRecon`. @@ -37,10 +37,10 @@ We release a new data set, containing time series of counts of extreme market ev in five economic sectors in the period 2005-2018 (3508 trading days). The counts are computed by considering 29 companies included in the Euro Stoxx 50 index and observing if the value of the CDS spread on a given day exceeds the 90-th percentile of its distribution in the last trading year. -The companies are divided in the following sectors: Financial (FIN), Information and Communication Technology (ICT), +The companies are divided into the following sectors: Financial (FIN), Information and Communication Technology (ICT), Manufacturing (MFG), Energy (ENG), and Trade (TRD). -The hierarchy is composed by 5 bottom time series, the daily number of extreme market +The hierarchy is composed of 5 bottom time series, the daily number of extreme market events in each sector, and 1 upper time series (the sum of the different sectors). Data are stored in `extr_mkt_events`.