Nixtla / neuralforecast

Scalable and user friendly neural :brain: forecasting algorithms.
https://nixtlaverse.nixtla.io/neuralforecast
Apache License 2.0
2.7k stars 312 forks source link

[FIX] HINT not producing coherent forecasts #964

Closed elephaint closed 2 months ago

elephaint commented 2 months ago

In HINT, when we make predictions, we compute quantiles of the forecasts and subsequently calculate the mean using those quantiles. This gives an approximation error of the mean of the forecasts, leading a.o. to issue #945 but also showing the 'percentage difference' errors sometimes in our test runs with HINT.

The fix is simple: calculate the mean of the forecasts before computing the quantiles.

Summary:

review-notebook-app[bot] commented 2 months ago

Check out this pull request on  ReviewNB

See visual diffs & provide feedback on Jupyter Notebooks.


Powered by ReviewNB