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tidyverts / fable

Tidy time series forecasting
https://fable.tidyverts.org
GNU General Public License v3.0
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Integrate thief functionality #210

Closed StatMixedML closed 4 years ago

StatMixedML commented 4 years ago

Really nice package!

It would greatly enhance the functionality if you`d add the thief (Temporal HIErarchical Forecasting) functionality in addition to hts, so as to arrive at cross-temporal coherent forecasts as described in

https://kourentzes.com/forecasting/wp-content/uploads/2019/02/Kourentzes_2019_Cross_temporal_coherent_forecasts__the_case_of_Australian_tourism_flows.pdf

Thanks!

mitchelloharawild commented 4 years ago

Thanks! Temporal and cross-temporal hierarchical forecasting will be added in the fabletools package. The interface for this will take some time, but we have some ideas for how this will look now.

StatMixedML commented 4 years ago

Great to hear!

Are you planning the implementation to go along with probabilistic forecast reconciliation as described here

https://robjhyndman.com/publications/coherentprob/

mitchelloharawild commented 4 years ago

Hierarchical forecast reconciliation in fabletools will be probabilistic for supported distributions, yes.

mitchelloharawild commented 4 years ago

Closing as duplicate of https://github.com/tidyverts/fabletools/issues/59