An Alternative Proof of Minimum Trace Reconciliation

Author/Editor:

Sakai Ando ; Futoshi Narita

Publication Date:

July 8, 2022

Electronic Access:

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Summary:

Minimum trace reconciliation, developed by Wickramasuriya et. al. (2019), is an innovation in the literature of forecast reconciliation. The proof, however, is indirect and not easy to extend to more general situations. This paper provides an alternative proof based on the first-order condition in the space of non-square matrix and argues that it is not only simpler but also can be extended to incorporate more general results on minimum weighted trace reconciliation in Panagiotelis et. al. (2021). Thus, our alternative proof not only has pedagogical value but also connects the results in the literature from a unified perspective.

Series:

Working Paper No. 2022/136

Subject:

Frequency:

regular

English

Publication Date:

July 8, 2022

ISBN/ISSN:

9798400216312/1018-5941

Stock No:

WPIEA2022136

Pages:

12

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