I have a data set with ~1,000,000 time series which I want to forecast using R. It is monthly data and I have 36 observations of each, and I want to forecast for one year (h=12). Each time series represents the demand for a certain product in a certain country. Several countries together form a region, so this is hierarchial. But over the products, I think it is grouped, so I think I should use gts then?
I'm not sure what method I want to use yet for forecasting. For now, I'm just interested in how I can produce forecasts for all these time series in a fast way..