Support for External Probabilistic forecasts Reconciliation

[Manjubn777]

Hi @antoinecarme , I would like to know if the package supports reconciliation of forecasts after generating at different hierarchy and also if it supports external probabilistic forecast reconciliation. I appreciate your quick response to my inquiry for information.

[antoinecarme]

Hi @Manjubn777,

Thanks for using PyAF.

PyAF supports some forecasting reconciliation methods : Bottom-up, Top-Down, Middle-out and Optimal combinations methods. These methods are described in depth in this excellent book :

https://otexts.com/fpp2/hierarchical.html

PyAF generates additional columns in the forecast output dataframe, one for each reconciliation method and at each node of the hierarchy.

The last paragraph of the following jupyter notebook gives an example of using these methods :

https://github.com/antoinecarme/pyaf/blob/master/docs/PyAF_Hierarchical_FrenchWineExportation.ipynb

Hope this helps.

[antoinecarme]

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