fable.bayesRecon: BAyesian reCONciliation in the fable framework

The package fable.bayesRecon integrates the probabilistic reconciliation methods from bayesRecon into the fable / fabletools framework. Reconciliation is specified via the reconcile() verb and produced when forecast() is called, following the same tidy workflow used by fable.

The reconciliation functions are:

• bayesRecon_t: reconciliation via conditioning with uncertain covariance matrix; the reconciled forecasts are multivariate Student-t; this is done analytically.
• bayesRecon_BUIS: reconciliation via importance sampling, applicable to any probabilistic forecast; this is the recommended option for non-Gaussian base forecasts;
• bayesRecon_MixCond: reconciliation via conditioning of mixed hierarchies, where the upper forecasts are multivariate Gaussian and the bottom forecasts are discrete distributions; recommended for moderately sized hierarchies;
• bayesRecon_TDcond: reconciliation via top-down conditioning of mixed hierarchies, where the upper forecasts are multivariate Gaussian and the bottom forecasts are discrete distributions; recommended for large hierarchies;

News

:boom: [2026-05-05] fable.bayesRecon v0.1.0: first CRAN release.

Installation

You can install the stable version on R CRAN

install.packages("fable.bayesRecon", dependencies = TRUE)

You can install the development version from GitHub:

# install.packages("devtools")
devtools::install_github("dazzimonti/fable.bayesRecon", build_vignettes = TRUE, dependencies = TRUE)

Usage

The package follows the standard fable workflow:

1. Prepare data as a tsibble and define the hierarchy with aggregate_key().
2. Fit base forecasting models with model().
3. Specify the reconciliation strategy inside reconcile().
4. Produce reconciled probabilistic forecasts with forecast().

The vignette fable.bayesRecon provides a simple usage example; refer to the package documentation for more details on the reconciliation methods and their parameters. See the book Hyndman and Athanasopoulos (2021) for a general introduction to forecasting with fable and fabletools.

Getting help

If you encounter a bug, please file a minimal reproducible example on GitHub.

Examples from bayesRecon

In this section we reproduce the examples found in bayesRecon’s README file in the fable framework. You can use this section as a guiding example to convert your code from bayesRecon to fable.bayesRecon.

Example 1: Gaussian forecast distributions

Let us consider a hierarchy with 4 bottom time series and 3 upper time series, as shown in the figure above.

In this example, we assume that the base forecasts are multivariate Gaussian, which is a common choice for real-valued time series.

To generate the hierarchical time series, we first randomly simulate the bottom series using an AR(1) process and then aggregate them using the function aggregate_key from fabletools.

library(tsibble)
library(fabletools)
library(dplyr)
set.seed(1234)

# Simulate the 4 bottom series from independent AR(1) processes. The bottom
# series are indexed by two nested keys (major/minor), matching the hierarchy
# Total -> {A, B} -> {AA, AB, BA, BB} encoded in A above. The time index is
# monthly, starting in January 2015.
n_obs <- 12  # length of the time series
month_idx <- yearmonth("2015 Jan") + 0:(n_obs - 1)
bottom_keys <- expand.grid(minor = c("A", "B"), major = c("A", "B"))

bottom_data <- data.frame(
  Month = rep(month_idx, times = nrow(bottom_keys)),
  major = rep(bottom_keys$major, each = n_obs),
  minor = rep(bottom_keys$minor, each = n_obs),
  value = as.numeric(sapply(seq_len(nrow(bottom_keys)), function(j)
    arima.sim(model = list(ar = 0.8), n = n_obs, sd = 0.5)))
) |>
  as_tsibble(index = Month, key = c(major, minor))

# Aggregate to obtain the upper series (Total, and majors A/B)
data <- bottom_data |>
  aggregate_key(major/minor, value = sum(value))

We compute the base forecasts using an ETS model with Gaussian predictive distribution. We then analytically compute the reconciled forecasts via conditioning using the fable::min_trace and the fable.bayesRecon::bayesRecon_t functions. The reconciled forecasts produced by min_trace are multivariate Gaussian, and they are equivalent to Gaussian reconciliation via conditioning (Zambon et al. 2024). The bayesRecon_t method adopts a Bayesian approach to account for the uncertainty of the covariance matrix of the base forecasts; the reconciled forecasts, which are multivariate Student-t, are typically better calibrated (see Carrara et al. 2026 for details).

library(fable)
library(fable.bayesRecon)

fit <- data |>
  model(base = ETS(value)) |> # fit ETS model
  reconcile(t = bayesRecon_t(base, freq = 1),               # Reconcile with t-Rec
            mint = min_trace(base))                         # Reconcile with MinT

fit |> knitr::kable()

For simplicity, we only compute one-step-ahead forecasts; by changing the value of the parameter h below, we can compute multi-step-ahead forecasts with the same code.

fc <- fit |>
  forecast(h = "1 month")

The table below compares the point forecasts (mean of the forecast distribution) obtained with the three methods for each level.

Finally, we compare the reconciled forecast distributions for the top series T obtained with the two methods by plotting their marginal densities.

Example 2: discrete forecast distributions

We consider the same hierarchy as Example 1; however, we assume that the base forecasts are discrete, which is a common choice for count time series.

We simulate the bottom series by drawing from Poisson distributions with time-varying rates that include a monthly seasonal pattern, and aggregate them with aggregate_key, exactly as in Example 1.

set.seed(123)
n_obs <- 60
month_idx <- yearmonth("2015 Jan") + 0:(n_obs - 1)
bottom_keys <- expand.grid(minor = c("A", "B"), major = c("A", "B"))

# Baseline Poisson rates for the bottom series (AA, AB, BA, BB) and a shared
# monthly seasonal term (period = 12)
lambda_bls <- c(3, 4, 5, 6)
seas <- 1.5 * sin(2 * pi * (1:n_obs) / 12)

bottom_data <- data.frame(
  Month = rep(month_idx, times = nrow(bottom_keys)),
  major = rep(bottom_keys$major, each = n_obs),
  minor = rep(bottom_keys$minor, each = n_obs),
  value = as.numeric(sapply(seq_len(nrow(bottom_keys)), function(j) {
    lambda_j <- lambda_bls[j] + seas + rnorm(n_obs, sd = 0.1)  # add small noise to the rate
    rpois(n_obs, lambda_j)
  }))
) |>
  as_tsibble(index = Month, key = c(major, minor))

# Aggregate to obtain the upper series (Total, and majors A/B)
data <- bottom_data |>
  aggregate_key(major/minor, value = sum(value))

We compute the base forecasts using the GAMPOISB model from fable.intermittent, which is specific for count time series. Note that, unlike ETS, GAMPOISB does not currently support exogenous regressors or a season() term in its formula, so it cannot explicitly track the seasonal pattern used to generate the data above; it still produces a valid predictive distribution for each series.

We then compute the reconciled forecasts using the Bottom-Up Importance Sampling (BUIS) algorithm, via fable.bayesRecon::bayesRecon_BUIS (see Zambon et al. 2024 for details). BUIS reconciles any probabilistic base forecast via importance sampling, and is the recommended choice for discrete (or otherwise non-Gaussian) base forecasts. The reconciled forecasts it produces are represented as samples (distributional::dist_sample), from which any desired summary (mean, quantiles, etc.) can be computed.

library(fable.intermittent)

fit <- data |>
  model(base = GAMPOISB(value)) |>        # fit GAMPOISB for the full hierarchy
  reconcile(buis = bayesRecon_BUIS(base)) # reconcile with BUIS

For simplicity, we only compute one-step-ahead forecasts; by changing the value of the parameter h below, we can compute multi-step-ahead forecasts with the same code.

fc <- fit |>
  forecast(h = "1 month")

The tables below compare, for each series in the hierarchy, the mean and the 80%/95% quantiles of the base and reconciled forecast distributions (one row per model, one column per series).

Mean

80% quantile

95% quantile

Finally, we compare the base and reconciled forecast distributions for the top series T, by evaluating the distributional generics quantile() and density() on the returned forecast distributions.

Example 3: mixed-type forecast distributions

In many large hierarchies the bottom series are low-count integers (e.g., item-level sales), while the upper series can be considered as real-valued due to the smoothing effect of aggregation (e.g., total sales). These hierarchies are often referred to as mixed, since forecasts for the bottom series are discrete distributions, while forecasts for the upper series are continuous distributions. The functions bayesRecon_MixCond and bayesRecon_TDcond handle this mixed case: the bottom series are fit with a discrete-distribution model and the upper series with a continuous (Gaussian) model. These functions implement different methods for reconciling mixed hierarchies; we recommend using bayesRecon_MixCond for moderately sized hierarchies and bayesRecon_TDcond for large hierarchies (see Zambon et al. 2024 for details).

Let us consider a hierarchy with 3 upper series and 52 bottom series arranged in 2 groups of 26:

We randomly generate the bottom count time series as in Example 2, using a major/minor nested key: major has 2 levels (2 groups) and minor has 26 levels (items) nested within each major, giving 1 Total + 2 majors + 52 leaves = 3 upper and 52 bottom series, matching the figure above.

set.seed(12)
n_obs <- 60
month_idx <- yearmonth("2015 Jan") + 0:(n_obs - 1)
# 2 majors (groups) x 26 minors (items) = 52 bottom series
bottom_keys <- expand.grid(minor = sprintf("%02d", 1:26), major = c("A", "B"))
n_b <- nrow(bottom_keys)

# Assume a Poisson data generating process with a shared monthly seasonality
lambda_levels <- runif(n_b, min = 0.1, max = 2)  # per-series baseline rates
seas <- 1 + .5 * sin(2 * pi * (1:n_obs) / 12)    # shared seasonal multiplier

bottom_data <- data.frame(
  Month = rep(month_idx, times = n_b),
  major = rep(bottom_keys$major, each = n_obs),
  minor = rep(bottom_keys$minor, each = n_obs),
  value = as.numeric(sapply(seq_len(n_b), function(j)
    rpois(n_obs, lambda_levels[j] * seas)))
) |>
  as_tsibble(index = Month, key = c(major, minor))

# Aggregate to obtain the upper series (Total, and majors A/B)
data <- bottom_data |>
  aggregate_key(major/minor, value = sum(value))

We show a comparison of upper and bottom time series. Even though the bottom series are made of low counts, the upper series can be considered as real-valued due to the smoothing effect of aggregation.

We compute the one-step-ahead base forecasts for the upper series with an ETS model (Gaussian predictive distribution) and for the bottom series with the GAMPOISB model from fable.intermittent, as in Example 2. Contrary to the previous examples, here the two levels are fit separately, selecting upper vs. bottom via is_aggregated(minor), and the two model tables are combined with dplyr::bind_rows().

library(fable.intermittent)

fit_upper <- data |>
  filter(is_aggregated(minor)) |>
  model(base = ETS(value))          # Gaussian ETS model for the upper series

fit_bottom <- data |>
  filter(!is_aggregated(minor)) |>
  model(base = GAMPOISB(value))     # GAMPOISB model for the bottom (count) series

fit <- dplyr::bind_rows(fit_upper, fit_bottom)

We reconcile using both bayesRecon_MixCond (importance-sampling based conditioning) and bayesRecon_TDcond (top-down conditioning). These functions implement different methods for reconciling mixed hierarchies, but they share the same interface. Both methods estimate the covariance of the upper base forecasts internally, via shrinkage estimation (bayesRecon::schaferStrimmer_cov) applied to the in-sample residuals of the fitted upper models.

fit <- fit |>
  reconcile(
    mixcond = bayesRecon_MixCond(base),
    tdcond  = bayesRecon_TDcond(base)
  )

For simplicity, we only compute one-step-ahead forecasts.

fc <- fit |>
  forecast(h = "1 month")

The reconciled forecasts produced by bayesRecon_MixCond and bayesRecon_TDcond are represented as samples (distributional::dist_sample); from these we can compute any desired summary using the usual distributional generics. The tables below compare the mean and the 95% quantile of the base and reconciled forecast distributions for the upper series T, A and B (one row per model, one column per series).

Mean

95% quantile

Finally, we compare the base forecast and the two reconciled forecast distributions for the top series T. The base distribution is Gaussian (line, from the ETS model); the reconciled distributions are discrete (bars, evaluated via the distributional generics on the sample-based reconciled forecasts). The black triangle indicates the actual value of T. We refer to Zambon et al. 2024 for a detailed comparison of the two methods for reconciling mixed hierarchies of different sizes.

References

Carrara, C., Azzimonti, D., Corani, G., Zambon, L. (2026). Modeling uncertainty in the covariance matrix for probabilistic forecast reconciliation. International Journal of Forecasting. In press, DOI.

Hyndman, R.J., & Athanasopoulos, G. (2021). Forecasting: principles and practice. 3rd edition, OTexts: Melbourne, Australia. OTexts.com/fpp3. Accessed on 05/05/2026.

Zambon, L., Azzimonti, D. & Corani, G. (2024). Efficient probabilistic reconciliation of forecasts for real-valued and count time series. Statistics and Computing 34 (1), 21. DOI

Zambon, L., Azzimonti, D., Rubattu, N., Corani, G. (2024). Probabilistic reconciliation of mixed-type hierarchical time series. Proceedings of the Fortieth Conference on Uncertainty in Artificial Intelligence, PMLR 244:4078-4095. Available here

Contributors

Dario Azzimonti (Maintainer) Email

Stefano Damato   Email

Lorenzo Zambon   Email

Chiara Carrara   Email

Giorgio Corani   Email

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