FoCo2: Coherent Forecast Combination for Linearly Constrained Multiple
Time Series
Methods and tools designed to improve the forecast accuracy for a linearly
constrained multiple time series, while fulfilling the linear/aggregation relationships
linking the components (Girolimetto and Di Fonzo, 2024 <doi:10.48550/arXiv.2412.03429>).
'FoCo2' offers multi-task forecast combination and reconciliation
approaches leveraging input from multiple forecasting models or experts and ensuring
that the resulting forecasts satisfy specified linear constraints. In addition, linear
inequality constraints (e.g., non-negativity of the forecasts) can be imposed, if needed.
| Version: |
0.1.2 |
| Depends: |
R (≥ 3.4), Matrix, FoReco |
| Imports: |
stats, cli, methods, quadprog, osqp |
| Suggests: |
testthat (≥ 3.0.0) |
| Published: |
2025-06-14 |
| DOI: |
10.32614/CRAN.package.FoCo2 |
| Author: |
Daniele Girolimetto
 [aut, cre,
fnd, cph],
Tommaso Di Fonzo
[aut, fnd] |
| Maintainer: |
Daniele Girolimetto <daniele.girolimetto at unipd.it> |
| BugReports: |
https://github.com/danigiro/FoCo2/issues/ |
| License: |
GPL (≥ 3) |
| URL: |
https://github.com/danigiro/FoCo2/,
https://danigiro.github.io/FoCo2/ |
| NeedsCompilation: |
no |
| Materials: |
README, NEWS |
| In views: |
TimeSeries |
| CRAN checks: |
FoCo2 results |
Documentation:
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