Web: http://arxiv.org/abs/2110.13179

Jan. 31, 2022, 2:11 a.m. | Kin G. Olivares, O. Nganba Meetei, Ruijun Ma, Rohan Reddy, Mengfei Cao, Lee Dicker

cs.LG updates on arXiv.org arxiv.org

Hierarchical forecasting problems arise when time series have a natural group
structure, and predictions at multiple levels of aggregation and disaggregation
across the groups are needed. In such problems, it is often desired to satisfy
the aggregation constraints in a given hierarchy, referred to as hierarchical
coherence in the literature. Maintaining hierarchical coherence while producing
accurate forecasts can be a challenging problem, especially in the case of
probabilistic forecasting. We present a novel method capable of accurate and
coherent probabilistic …

arxiv deep forecasting

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