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Nixtla / hierarchicalforecast

Probabilistic Hierarchical forecasting 👑 with statistical and econometric methods.
https://nixtlaverse.nixtla.io/hierarchicalforecast
Apache License 2.0
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Probabilistic Forecast Reconciliation #31

Closed Manjubn777 closed 2 years ago

Manjubn777 commented 2 years ago

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 to my inquiry for information.

kdgutier commented 2 years ago

Hi @Manjubn777,

We have been doing research/working on probabilistic hierarchical forecasting, but have not released.

I can point you to my work in progress paper "Probabilistic Hierarchical Forecasting with Deep Poisson Mixtures" and Taieb's PERMBU.

Regarding implementations of algorithms GluonTS team did an effort to improve the usability of PERMBU in this repository, it has a lot of dependency frictions.

If you have any pointers please let me know, this is a really interesting topic for us.

AzulGarza commented 2 years ago

Hey @Manjubn777! The new version of HierarchicalForecast supports probabilistic forecast reconciliation.

Manjubn777 commented 2 years ago

Hey Team, Thank you so much for notebooks and I do have a question. Let's say I have 2000 forecast samples for each day,which will be passed as y_hat_df and I have actuals which is like one value for each day(daily data)., I will pass actual data as fitted values. setting bootstrap = True helps me reconcile?

I would appreciate your answer to the above question.

Thanks and Regards, Manjula

On Wed, Sep 28, 2022 at 7:39 AM fede @.***> wrote:

Hey @Manjubn777 https://github.com/Manjubn777! The new version of HierarchicalForecast supports probabilistic forecast reconciliation.

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