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Prof. Rob Hyndman:Optimal Forecast Reconciliation

Publish Date: 2017/12/01 09:50:54    Hits:

On 30th November, 2017, we welcome Prof. Rob Hyndman to our series lecture on“Economics and Business”, as well as his speech on Optimal Forecast Reconciliation. Rob Hyndman is Professor of Statistics in the Department of Econometrics and Business Statistics at Monash University. He is alsoEditor-in-Chief of the International Journal of Forecasting and a Director of the International Institute of Forecasters. The lecture was hosted by Prof. Ying FAN, Dean of School of Economics and Management at Beihang University.

In the following lecture, Prof. Rob Hyndman showed us his latest frontier researches on optimal forecast reconciliation, which aimed to return coherent,unbiased forecasting with minimum variance for hierarchical time series data.Prof. Hyndman talked about several ways to solve this problem and also demonstrated the ways to make the computation faster. During and after the lecture, more than 60 scholars and students from the SEM discussedthe key points of the talk, and also raised quite a few relevant questions , which provoke further thinking on the issue from both parties.