Hierarchical Methods Time Series Forecasting
copied from cf-post-staging / hierarchicalforecastHierarchicalForecast 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.