OptimalReconciler

Reconciliation for hierarchical time series.

Quickstart

from sktime.transformations.hierarchical.reconcile import OptimalReconciler

estimator = OptimalReconciler(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 (
... OptimalReconciler)
>>> from sktime.utils._testing.hierarchical import _make_hierarchical
>>> from sktime.forecasting.naive import NaiveForecaster
>>> y = _make_hierarchical ()
>>> pipe = OptimalReconciler () * NaiveForecaster ()
>>> pipe = pipe. fit (y)
>>> y_pred = pipe. predict (fh = [1, 2, 3 ])