Another question; are prediction intervals in bott...
# hierarchicalforecast
b
Another question; are prediction intervals in bottom-up made at the total level, or just at the bottom level and then summed up? If so, how does the summing up of the prediction intervals work
o
How prediction intervals are constructed depends on which method is chosen for creating prediction intervals. There's three methods: Normality, Bootstrap and PERMBU. You can find how they work here, there's also a link to the source paper of each of these methods in there. The default is Normality. This assumes all timeseries follow a Gaussian distribution. It samples from a multivariate normal for each series. The intervals are subsequently constructed by quantiling the samples. So, the intervals are made at every level by generating coherent samples for each level.
b
In this case its conformal prediction. I can not find anything on that method. How would it work in that case?
o
It's not conformal prediction. You're asking about prediction intervals in hierarchical forecasting. We don't support conformal there.
b
o
That example makes prediction intervals with MLForecast. They are then reconciled with hierarchicalforecast using the methods I described above.
b
That is incorrect
o
Curious to understand what is incorrect