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rshyamsundar / gluonts-hierarchical-ICML-2021

Apache License 2.0
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Difference between GluonTS mainline #7

Open samosun opened 2 years ago

samosun commented 2 years ago

Thanks for sharing the code. I am learning multivariate timeseries forecasting. I notice that DeepVARHierarchicalEstimator in gluonts mainline only support "multivariate Gaussian with diagonal covariance and no transformation" as comment said: https://github.com/awslabs/gluon-ts/blob/master/src/gluonts/model/deepvar_hierarchical/_estimator.py#L213

If I want to use DeepVARHierarchicalEstimator with rank >0 W and cdf transformation , any advice of which part should I start trying to fix? Or I should use DeepHierEstimator in this repository.

Thank you.