Hierarchically Coherent Multivariate Mixture Networks
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Large collections of time series data are often organized into hierarchies with different levels of aggregation; examples include product and geographical groupings. Probabilistic coherent forecasting is tasked to produce forecasts consistent across levels of aggregation. In this study, we propose to augment neural forecasting architectures with a coherent multivariate mixture output. We optimize the networks with a composite likelihood objective, allowing us to capture time series' relationships while maintaining high computational efficiency. Our approach demonstrates 13.2% average accuracy improvements on most datasets compared to state-of-the-art baselines. We conduct ablation studies of the framework components and provide theoretical foundations for them. To assist related work, the code is available at this https://github.com/Nixtla/neuralforecast.