NonNegativeOptimalReconciler

Apply non-negative reconciliation to hierarchical time series.

Quickstart

from sktime.transformations.hierarchical.reconcile import NonNegativeOptimalReconciler

estimator = NonNegativeOptimalReconciler(error_covariance_matrix: DataFrame=None, alpha=0)

Parameters(2)

error_covariance_matrixpd.DataFrame, default=None

Error covariance matrix. If None, it is assumed to be the identity matrix

alphafloat, default=0

Constant added to the diagonal of the inverted matrix.

Examples

>>> from sktime.transformations.hierarchical.reconcile import (
... NonNegativeOptimalReconciler)
>>> from sktime.utils._testing.hierarchical import _make_hierarchical
>>> from sktime.forecasting.exp_smoothing import ExponentialSmoothing
>>> y = _make_hierarchical ()
>>> pipe = NonNegativeOptimalReconciler () * ExponentialSmoothing ()
>>> pipe = pipe. fit (y)
>>> y_pred = pipe. predict (fh = [1, 2, 3 ])