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When using the combinef function in Rob Hyndman's very useful hts library (soon to be in incorporated in the new fable library/tidyverts framework) is it possible to have subtraction at any level?

For example, where the top level is a net flow of the next two levels? Say net flows into a region - arrivals less departures?

Experiments on a simple 2 level, 3 series, hierarchy suggest no.

All series forecast with positive values.

Setting one base level series (departures) to be negative, but applying a positive summation matrix/nodes, results in very large deviations from the underlying series in the reconciliation process.

thanks

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In principle, any linear combination of child series is possible using the same mathematical formulation. But the implementation in hts, and the intial implementation in fable, does not allow that. It is something we are considering including in fable, but not in the first release.

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  • $\begingroup$ thanks for the clarifying that it's about the implementation. $\endgroup$ – Chris Jun 25 at 21:34

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