Multivariate Online Linear Regression for Hierarchical Forecasting

arXiv:2402.14578v1 Announce Type: cross
Abstract: In this paper, we consider a deterministic online linear regression model where we allow the responses to be multivariate. To address this problem, we introduce MultiVAW, a method that extends the well-known Vovk-Azoury-Warmuth algorithm to the multivariate setting, and show that it also enjoys logarithmic regret in time. We apply our results to the online hierarchical forecasting problem and recover an algorithm from this literature as a special case, allowing us to relax the hypotheses …

abstract algorithm arxiv cs.lg forecasting hierarchical linear linear regression math.oc multivariate paper regression responses show stat.ml type