Open henningsway opened 3 years ago
Probabilistic reconciliation is currently only supported for normally distributed forecasts, however is possible to also reconcile the sample paths to give coherent intervals. This will need to be added to {fabletools}
.
Thanks, it's good to know, that this functionality ist not yet available (and that it's not me using the package in the wrong way).
Do you see a way of estimating a normal distribution from the prophet forecast and maybe use this as an input for the reconciliation or some other kind of workaround?
Thank you for bringing prophet to fable!
I plan on using prophet in a hierarchical forecasting context, where I require reconciled forecasts. I'm not too familiar with the concepts and methods yet, but I was hoping, that also the reconciled prophet-forecasts would have a distribution (as it seems to be the case for
ETS()
for example), potentially generated via bootstrapping forecast errors.Is it possible to get a prediction interval for reconciled prophet forecasts? :)
Please finde a reprex below for the approach I have taken so far.
Created on 2020-12-10 by the reprex package (v0.3.0)