Probabilistic hierarchical forecasting with deep poisson mixtures
Hierarchical forecasting problems arise when time series have a natural group structure, and predictions at multiple levels of aggregation and disaggregation across the groups are needed. In such problems, it is often desired to satisfy the aggregation constraints in a given hierarchy, referred to as hierarchical coherence in the literature. Maintaining hierarchical coherence while producing accurate forecasts can be a challenging problem, especially in the case of probabilistic forecasting. We present a novel method capable of accurate and coherent probabilistic forecasts for hierarchical time series. We call it Deep Poisson Mixture Network (DPMN). It relies on the combination of neural networks and a statistical model for the joint distribution of the hierarchical multivariate time series structure. By construction, the model guarantees hierarchical coherence and provides simple rules for aggregation and disaggregation of the predictive distributions. We perform an extensive empirical evaluation comparing the DPMN to other state-of-the-art methods which produce hierarchically coherent probabilistic forecasts on multiple public datasets. Compared to existing coherent probabilistic models, we obtained a relative improvement in the overall Continuous Ranked Probability Score (CRPS) of 17.1% on Australian domestic tourism data, 24.2% on the Favorita grocery sales dataset, and 6.9% on a San Francisco Bay Area highway traffic dataset.