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On the Evaluation of Hierarchical Forecasts

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journal contribution
posted on 2022-11-10, 03:44 authored by George Athanasopoulos, Nikolaos Kourentzes
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 sparsity, the forecast horizon, the importance of multiple evaluation windows and the multiple objective decision context. We conclude with a series of practical recommendations.

History

Classification-JEL

C18, C53, C55

Creation date

2021-08-10

Working Paper Series Number

10/21

Length

28 pp

File-Format

application/pdf

Handle

RePEc:msh:ebswps:2021-10

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