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An Alternative Proof of Minimum Trace Reconciliation

Author

Listed:
  • Mr. Sakai Ando
  • Mr. Futoshi Narita

Abstract

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.

Suggested Citation

  • Mr. Sakai Ando & Mr. Futoshi Narita, 2022. "An Alternative Proof of Minimum Trace Reconciliation," IMF Working Papers 2022/136, International Monetary Fund.
    • Handle: RePEc:imf:imfwpa:2022/136
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