hierarchicalforecast
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Nixtla
Probabilistic Hierarchical forecasting 👑 with statistical and econometric methods.
Trying to implement on forecasts that i already have (both aggregations and low level) I made my own summing matrix but when running the tutorial to see what the y_hat_df...
Kindly ensure you follow best academic citation practice in your academic papers, e.g., the accompanying paper here: https://arxiv.org/abs/2207.03517 I'm aware that in industry it might not be common or expected...
After going through the package and paper found that supports only point forecasts reconciliation. I would like to know if it supports probabilistic forecast reconciliation. I appreciate your quick response...
It would be beneficial for complex models like MinT-shr and ERM-lasso to inherit the [BaseEstimator](https://scikit-learn.org/stable/modules/generated/sklearn.base.BaseEstimator.html) sklearn class to help with the automated search of hyperparameters.
Let's reevaluate the `bootstrap` boolean parameter from the `core.HierarchicalForecast` main class to `prob_method` that accepts strings to be able to use `PERMBU`, `Bootstrap` or `MinTrace-normality`. We need to think of...
In its current version some methods like `HierarchicalForecast.reconcile` need the `Y_hat_df` pd.DataFrame input to be indexed by 'unique_id' to operate correctly. This makes running the methods challenging, in particular since...
When I open the documentation and click on the source code links, it leads to a 404 webpage error on github.
Dear colleagues, I am working with a problem where I do need to predict the performance of a financial portfolio formed by different assets. As of today I am approaching...
Some methods and functionality (bootstrapped prediction intervals) need the fitted values of the models. But the following iteration omits to request them. https://github.com/Nixtla/hierarchicalforecast/blob/0c5cc368875589c65244364516374d577875627f/hierarchicalforecast/core.py#L128-L146 The above leads to unintelligible bugs.
### Discussed in https://github.com/Nixtla/hierarchicalforecast/discussions/47 Originally posted by **jakebajo** August 25, 2022 Is there a way to write the `HierarchicalReconciliation.reconcile()` function so that if one reconcile method fails, the function will...