tidyverts / tidyverts/fabletools

Add support for reconciling disjoint hierarchies

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reconciliation
Dominant language
R
Stars
98
Forks
37
PR merge metrics
No merged PRs in 30d

Description

This seems to be unstable for some reason (non-positive-definite covariance), perhaps the .id is being used in reconciliation in some way.

library(fpp3)
tourism_stretch <- tourism %>%
  stretch_tsibble(.init = 16)
fits <- tourism_stretch %>%
  model(ets = ETS(Trips)) %>%
  reconcile(ets_adj = min_trace(ets, method='wls'))
fc <- fits %>% forecast(h = 1)
fc %>% accuracy(tourism) %>%
  group_by(.model) %>%
  summarise(MASE = mean(MASE))

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First steps

  1. Read the whole issue, then the project's contributing guide.
  2. Comment on the issue to say you are picking it up — it saves two people doing the same work.
  3. Fork the repository and make your change on a branch.
  4. Open a pull request that references the issue number.

Research direction

Start by running the R reproduction in the issue, from tourism_stretch through reconcile and forecast, to observe the non-positive-definite covariance failure. Review the reconciliation entry point and related tests, if present; done means disjoint hierarchies reconcile and the shown forecasting workflow completes without the instability.

Written by the indexing model from the issue text.

Assessment

Tech stack
r
Domain
data
Issue type
Feature
Difficulty
5/5
Estimated time
Over a week
Activity status
Stale
Clarity
Needs clarification
Newbie friendliness
25/100

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