HINT: Hierarchical Mixture Networks For Coherent Probabilistic Forecasting. (arXiv:2305.07089v1 [stat.ML])

We present the Hierarchical Mixture Networks (HINT), a model family for
efficient and accurate coherent forecasting. We specialize the networks on the
task via a multivariate mixture optimized with composite likelihood and made
coherent via bootstrap reconciliation. Additionally, we robustify the networks
to stark time series scale variations, incorporating normalized feature
extraction and recomposition of output scales within their architecture. We
demonstrate 8% sCRPS improved accuracy across five datasets compared to the
existing state-of-the-art. We conduct ablation studies on our …

arxiv bootstrap family forecasting hierarchical likelihood multivariate networks scale series time series