HierarchicalForecast offers a collection of reconciliation methods, including BottomUp, TopDown, MiddleOut, MinTrace and ERM.

• Classic reconciliation methods:

  • BottomUp: Simple addition to the upper levels.
  • TopDown: Distributes the top levels forecasts trough the hierarchies.

• Alternative reconciliation methods:

  • MiddleOut: It anchors the base predictions in a middle level. The levels above the base predictions use the bottom-up approach, while the levels below use a top-down.
  • MinTrace: Minimizes the total forecast variance of the space of coherent forecasts, with the Minimum Trace reconciliation.
  • ERM: Optimizes the reconciliation matrix minimizing an L1 regularized objective.

PyPI: https://pypi.org/project/hierarchicalforecast/