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First stab at (generic) temporal reconciliation. I've tried out a lot of stuff, but it seems for the moment it's easiest to implement using the strategy set out below.
Temporal reconciliation strategy
aggregate_temporal
, which is a minimal wrapper aroundaggregate
, but in the temporal dimension, using a provided temporalspec
Thoughts
HierarchicalForecast
class, with a.o. a.fit
-method that consumesdf
, a cross-sectional and/or temporalspec
, and a set of models linked to the spec. That would allow a user to only have to define (i) their spec, (ii) their models, (iii) their data, and runfit
/forecast
/cross-validation
on theHierarchicalForecast
class. Having fiddled with this over the last days there are a number of issues with this, a.o. that we need to generalize over the provided models in.fit
(e.g. allowing models from SF, MF, NF), thus essentially building aNixtla
-class. Maybe that's a stretch for now.Open issues