So I have a lot of time series with a hierarchical structure, and need to produce forecast for each base series and its aggregates by the hierarchical structure.

I have decided to produce forecast using the R hts package by Rob J Hyndman. I have produced reasonable point forecast for each series using the auto.arima function, and the forecast.gts function as in hts-viggnete page9. But prediction intervals are not yet implented directly in the package so I have followed the formulations in ref1 to get the variance matrix sigma.

But now Im lost in how to produce prediction intervals, should I use the diagonal of this matrix as the variance of each series to produce naive intervals? as in:


Is using the combinef() function on the intervals given by the auto.arima a correct way to produce conficence intervals?

thank you.


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