Hector G. LOPEZ-RUIZ
10/24/2022, 10:47 AMfede (nixtla) (they/them)
10/24/2022, 4:22 PMMinTrace(method='mint_shrink')
. Could you please try removing it to know if that’s the method that breaks the pipeline? 🙌Hector G. LOPEZ-RUIZ
10/24/2022, 5:22 PMfede (nixtla) (they/them)
10/24/2022, 5:27 PMmint_shrink
bug. We will fix it soon.
Please let us know if you have any other issues or special features you would like hirarchicalforecast
to have. 🙂Kin Gtz. Olivares
10/25/2022, 3:16 PMHector G. LOPEZ-RUIZ
10/25/2022, 3:31 PMKin Gtz. Olivares
10/25/2022, 3:32 PMMinTrace
, available now in HierarchicalForecast's main.
The origin of the error are series with very low insample residual variance. Example y_model=[1,1,1,1] y_hat=[1,1,1,1]
. You can force MinTrace to run in such scenarios with the following:
• I added the mint_shr_ridge
parameter to MinTrace
class, that forces the covariance matrix to be invertible. In case you want to numerically force the method.
• Another trick that helped me in the past on these ill conditioned variance matrix is to add white noise to Y_df['y']
that works almost like the mint_shr_ridge
, but in a stochastic version.
Hope this helpsGinger Holt
10/28/2022, 9:30 PM