Hello again. The previous error is no longer happe...
# general
Hello again. The previous error is no longer happening. I restarted the runtime and it started working. Got very excited by the fact that there is a forecast. However I then had an error in the reconciliation. It says the array cannot contain infs of Nans (see screenshot). I checked the three inputs to see if there were any. If my check is correct (see screenshot) there are none. Any ideas? Thank you for all your help.
hey @Hector G. LOPEZ-RUIZ! I’m suspecting that the problem is related to
. Could you please try removing it to know if that’s the method that breaks the pipeline? 🙌
Hello Fede. Worked. Thank you. Also, I just recently started using Nixtla. What a great job you guys have done. 👍🏽 congrats.
Thank you, @Hector G. LOPEZ-RUIZ! I have a good idea of what might be happening with the
bug. We will fix it soon. Please let us know if you have any other issues or special features you would like
to have. 🙂
Hi @Hector G. LOPEZ-RUIZ, I am working on debugging the MinTrace-shrinkage method. I wonder if the data that you are using for your experiments is public, that would help me to explore the numerical instability causes.
Hello Kin, I can send it to you. No problem. But I can send it tomorrow because I’ve left the office (8 hour time diff.)
That sounds good, blind debugging is on steroids 👍
Hi @Ginger Holt and @Hector G. LOPEZ-RUIZ I added numerical protections to
, 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
parameter to
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
that works almost like the
, but in a stochastic version. Hope this helps
Thank you @Kin Gtz. Olivares for the fix and update!