Dimensionality reduction in forecasting with temporal hierarchies
针对时间层次预测中协方差矩阵维度过高的问题，提出基于特征分解的降维方法，在模拟和电力负荷、金融波动预测中提升各聚合层次的精度。
Combining forecasts from multiple temporal aggregation levels exploits information differences and mitigates model uncertainty, while reconciliation ensures a unified prediction that supports aligned decisions at different horizons. It can be challenging to estimate the full cross-covariance matrix for a temporal hierarchy, which can easily be of very large dimension, yet it is difficult to know a priori which part of the error structure is most important. To address these issues, we propose to use eigendecomposition for dimensionality reduction when reconciling forecasts to extract as much information as possible from the error structure given the data available. We evaluate the proposed estimator in a simulation study and demonstrate its usefulness through applications to short-term electricity load and financial volatility forecasting. We find that accuracy can be improved uniformly across all aggregation levels, as the estimator achieves state-of-the-art accuracy while being applicable to hierarchies of all sizes.