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bayesRecon - Probabilistic Reconciliation via Conditioning

Provides methods for probabilistic reconciliation of hierarchical forecasts of time series. The available methods include analytical Gaussian reconciliation (Corani et al., 2021) <doi:10.1007/978-3-030-67664-3_13>, MCMC reconciliation of count time series (Corani et al., 2024) <doi:10.1016/j.ijforecast.2023.04.003>, Bottom-Up Importance Sampling (Zambon et al., 2024) <doi:10.1007/s11222-023-10343-y>, methods for the reconciliation of mixed hierarchies (Mix-Cond and TD-cond) (Zambon et al., 2024) <https://proceedings.mlr.press/v244/zambon24a.html>, analytical reconciliation with Bayesian treatment of the covariance matrix (Carrara et al., 2025) <doi: 10.48550/arXiv.2506.19554>.

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reconciliationtimeseries

7.82 score 9 stars 1 dependents 41 scripts 694 downloads

fable.bayesRecon - Bayesian Reconciliation in the 'fable' Framework

Implements the 'bayesRecon' probabilistic reconciliation methods within the 'fable' framework for hierarchical time series forecasting. Bayesian reconciliation (bayesRecon) methods are accessed via the 'reconcile' verb, following 'fable' conventions. For methodological background, see Corani et al. (2021) <doi:10.1007/978-3-030-67664-3_13>, Zambon et al. (2024a) <doi:10.1007/s11222-023-10343-y>, Zambon et al. (2024b) <https://proceedings.mlr.press/v244/zambon24a.html>, and Carrara et al. (2025) <doi:10.48550/arXiv.2506.19554>.

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4.78 score 5 scripts 542 downloads

anMC - Compute High Dimensional Orthant Probabilities

Computationally efficient method to estimate orthant probabilities of high-dimensional Gaussian vectors. Further implements a function to compute conservative estimates of excursion sets under Gaussian random field priors.

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estimationgaussianorthantprobabilityopenblascpp

4.47 score 6 dependents 6 scripts 3.3k downloads

KrigInv - Kriging-Based Inversion for Deterministic and Noisy Computer Experiments

Criteria and algorithms for sequentially estimating level sets of a multivariate numerical function, possibly observed with noise.

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3.56 score 5 dependents 58 scripts 4.2k downloads

profExtrema - Compute and Visualize Profile Extrema Functions

Computes profile extrema functions for arbitrary functions. If the function is expensive-to-evaluate it computes profile extrema by emulating the function with a Gaussian process (using package 'DiceKriging'). In this case uncertainty quantification on the profile extrema can also be computed. The different plotting functions for profile extrema give the user a tool to better locate excursion sets.

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2.70 score 10 scripts 228 downloads

pGPx - Pseudo-Realizations for Gaussian Process Excursions

Computes pseudo-realizations from the posterior distribution of a Gaussian Process (GP) with the method described in Azzimonti et al. (2016) <doi:10.1137/141000749>. The realizations are obtained from simulations of the field at few well chosen points that minimize the expected distance in measure between the true excursion set of the field and the approximate one. Also implements a R interface for (the main function of) Distance Transform of sampled Functions (<https://cs.brown.edu/people/pfelzens/dt/index.html>).

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cpp

2.18 score 1 dependents 9 scripts 269 downloads