Hierarchical Model

[GinoWoz1]

Hello Prophet team,

I was thinking of making improvements to my R prophet model I have had in production for 3 years and the first area that I wanted to test out was working on hierarchical forecasts. Looking at the code, this looks like it would be heavily involved on the forecaster objects, defining groups, making features at the group level and then passing extra arguments to the fit for k_mu and m_mu (and inits) and calculating the likelihoods in parallel.

Is this functionality that is ever planned for this tool? I was thinking of contributing but definitely have my work cut out for me based on my first pass look at the R files.

Thanks for your time!