On the evaluation of hierarchical forecasts

George Athanasopoulos, Nikolaos Kourentzes

Research output: Contribution to journalArticleResearchpeer-review

3 Citations (Scopus)

Abstract

The aim of this paper is to provide a thinking road-map and a practical guide to researchers and practitioners working on hierarchical forecasting problems. Evaluating the performance of hierarchical forecasts comes with new challenges stemming from both the structure of the hierarchy and the application context. We discuss several relevant dimensions for researchers and analysts: the scale and units of the time series, the issue of intermittency, the forecast horizon, the importance of multiple evaluation windows and the multiple objective decision context. We conclude with a series of practical recommendations.

Original languageEnglish
Pages (from-to)1502-1511
Number of pages10
JournalInternational Journal of Forecasting
Volume39
Issue number4
DOIs
Publication statusPublished - Oct 2023

Keywords

  • Aggregation
  • Coherence
  • Hierarchical time series
  • Multiple objectives
  • Reconciliation

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