This paper conducts an extensive forecasting study on 13,118 time series measuring Swiss goods exports, grouped hierarchically by export destination and product category. We apply existing state of the art methods in forecast reconciliation and introduce a novel Bayesian reconciliation...

Nonparametric estimators of autocovariance functions for non-stationary time series are developed. The estimators are based on straightforward nonparametric mean function estimation ideas and allow use of any linear smoother (e.g. smoothing spline, local polynomial). We study the properties of...