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Simultaneous and two‐step reconciliation of systems of time series: methodological and practical issues
Author(s) -
Di Fonzo Tommaso,
Marini Marco
Publication year - 2011
Publication title -
journal of the royal statistical society: series c (applied statistics)
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.205
H-Index - 72
eISSN - 1467-9876
pISSN - 0035-9254
DOI - 10.1111/j.1467-9876.2010.00733.x
Subject(s) - series (stratigraphy) , computer science , exploit , algorithm , subject (documents) , mathematical optimization , mathematics , geology , paleontology , library science , computer security
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.