4 papers
End-to-end probabilistic hierarchical forecasting of large hierarchies via probabilistic top-down
Lorenzo Zambon, Dario Azzimonti, Giorgio Corani
Retail and supply chain operations rely on demand forecasts to drive decisions, from replenishment at the product level to capacity planning at the store level. These forecasts sho…
Model selection with proper scoring rules on data sets of time series: prefer the mean scaled score
Giorgio Corani, Stefano Damato, Dario Azzimonti +1
We study the problem of model selection among probabilistic forecasting models evaluated on datasets of multiple time series. The performance of a model on a single time series is…
Nonlinear Probabilistic Forecast Reconciliation
Anubhab Biswas, Lorenzo Zambon, Lorenzo Nespoli +1
Forecast reconciliation adjusts independently generated forecasts so that they satisfy some known constraints. While probabilistic forecast reconciliation is well established for l…
Modeling uncertainty in the covariance matrix for probabilistic forecast reconciliation
Chiara Carrara, Dario Azzimonti, Giorgio Corani +1
In minimum trace (MinT) forecast reconciliation, the covariance matrix of the base forecast errors plays a crucial role. Typically, this matrix is estimated and then treated as kno…