Probabilistic Forecast Reconciliation with Kullback-Leibler Divergence Regularization

• URL: http://arxiv.org/abs/2311.12279v1
• Date: Tue, 21 Nov 2023 01:46:56 GMT
• Title: Probabilistic Forecast Reconciliation with Kullback-Leibler Divergence Regularization
• Authors: Guanyu Zhang and Feng Li and Yanfei Kang
• Abstract summary: We propose a new approach for probabilistic forecast reconciliation. Unlike existing approaches, our proposed approach fuses the prediction step and reconciliation step into a deep learning framework. The approach is evaluated using three hierarchical time series datasets.
• Score: 4.104449793013176
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: As the popularity of hierarchical point forecast reconciliation methods increases, there is a growing interest in probabilistic forecast reconciliation. Many studies have utilized machine learning or deep learning techniques to implement probabilistic forecasting reconciliation and have made notable progress. However, these methods treat the reconciliation step as a fixed and hard post-processing step, leading to a trade-off between accuracy and coherency. In this paper, we propose a new approach for probabilistic forecast reconciliation. Unlike existing approaches, our proposed approach fuses the prediction step and reconciliation step into a deep learning framework, making the reconciliation step more flexible and soft by introducing the Kullback-Leibler divergence regularization term into the loss function. The approach is evaluated using three hierarchical time series datasets, which shows the advantages of our approach over other probabilistic forecast reconciliation methods.

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