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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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`Normality` prob_reconciler covariance_type possibility #99

Open kdgutier opened 2 years ago

kdgutier commented 2 years ago

It would be good to specify in the code the type of covariance estimator used by the Normality class. Further in the future it would be good to add the capability to switch types of covariance estimator to the Normality reconciliator with a covariance_type input.

elephaint commented 2 weeks ago

This could be a worthwile addition, also for MinT-shrink, where we could have users choose the shrunk covariance estimator, e.g. based on Sklearn's covariance estimators.