[BUG] Bug with prediction output since 0.5.4

[haoranlee]

Describe the bug

Predictions at lower levels have strong bias in versions 0.5.6, 0.5.5, and 0.5.4. Only back to 0.5.3 do plots of predictions look more in line with intuition when compared to true observations.

Example used was this notebook from the examples.

• Plot for auto-ARIMA model using 0.5.6 (please ignore ordering of subplots):
• Plot using 0.5.3:
• Plot from the notebook for reference:

To Reproduce

Steps to reproduce the behavior:

1. Replicate this example notebook with scikit-hts>=0.5.4.
2. Reach the step near the end for plotting the predictions from the auto-ARIMA model (issue persists with Holt Winter’s exponential smoothing also).

Expected behavior

Predictions should not have strong positive or negative biases.

Desktop (please complete the following information):

• OS: Win 10 Pro
• scikit-hts version: >=0.5.4
• Python version: 3.8.3

[PeggyFan]

I'm interested in this as the forecasts for my sub-group are very poor. The HTS version I'm using is 0.5.11.