What has been your experience using the Neural Prophet?
05/05/2023, 2:42 PM
Hi @Kin Gtz. Olivares! I have yet to try it but this Local-Global model idea might be interesting. At the moment I am trying hierarchical forecasting with neuralforecast and hierarchicalforecast but I can't get good results. So far the best combination I have found is this: 1) I forecast the time series at the highest level of the hierarchy with ARIMA. 2) I forecast all time series using NHITS with loss SMAPE. 3) I replace the forecasts made by NHITS for the highest level of the hierarchy with those made using ARIMA (basically I make a forecast mix where the highest level of the hierarchy uses ARIMA and the lowest level of the hierarchy uses NHITS). 4) I perform a Top-Down reconciliation using hierarchicalforecast. I also tried HINT but probabilistic losses (GMM, NBMM, PMM...) do not perform well for me. Considering the mix of local (ARIMA) and global (NHITS) models I use now, NeuralProphet's Local-Global model looked interesting.
Kin Gtz. Olivares
05/05/2023, 2:47 PM
Top Down reconciliation with ARIMA learns proportions to disaggregate ARIMA into bottom level series.
Depending on the version that you use 'average_proportions', 'proportion_averages' or 'forecasted_proportions', you could skip the NHITS model for the bottom.
Would you like to schedule a call to talk about your project?
05/05/2023, 2:49 PM
@Kin Gtz. Olivares I need a global model at lower levels because some time series at lower levels of the hierarchy have a very short history and NHITS allows me to perform some kind of transfer learning to forecast short time series. Scheduling a call would be super nice!