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- W91081324 abstract "We propose new simultaneous and two-step procedures for reconcil- ing systems of time series subject to temporal and contemporaneous constraints according to a Growth Rates Preservation (GRP) principle. Two nonlinear optimization algorithms are used: an interior-point method applied to the con- strained problem and a Newton's method with Hessian modification applied to a suitably reduced-unconstrained problem. Both techniques exploit the an- alytic gradient and Hessian of the GRP objective function, making full use of all the derivative information at disposal. We apply the proposed GRP pro- cedures to two large systems of economic series, and compare the results with those of other reconciliation procedures based on the Proportional First Dif- ferences (PFD) principle, a linear approximation of the GRP principle widely used by data-producing agencies. Our experiments show that (i) an optimal solution to the nonlinear GRP problem can be efficiently achieved through the proposed Newton's optimization algorithms, and (ii) GRP-based procedures preserve better the growth rates in the system than linear PFD solutions, es- pecially for series with high temporal discrepancy and high volatility." @default.
- W91081324 created "2016-06-24" @default.
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- W91081324 date "2012-08-27" @default.
- W91081324 modified "2023-09-26" @default.
- W91081324 title "New Procedures for the Reconciliation of Time Series" @default.
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