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On the Evaluation of Hierarchical Forecasts
journal contributionposted 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.