hierarchicalforecast_statsforecast_ets_bottomup_mintrace_reconciliation.py

1import pandas as pd
2from datasetsforecast.hierarchical import HierarchicalData
3from statsforecast import StatsForecast
4from statsforecast.models import ETS
5from hierarchicalforecast.core import HierarchicalReconciliation
6from hierarchicalforecast.methods import BottomUp, MinTrace
7from hierarchicalforecast.utils import aggregate
8
9# Load TourismSmall dataset
10df, S, tags = HierarchicalData.load(directory='./data', group='TourismSmall')
11df['ds'] = pd.to_datetime(df['ds'])
12
13# Compute base forecasts using StatsForecast
14fcst = StatsForecast(
15    df=df, 
16    models=[ETS(seasonality_mode='additive')], 
17    freq='Q', 
18    n_jobs=-1
19)
20Y_hat_df = fcst.forecast(h=8)
21
22# Reconcile forecasts
23reconcilers = [
24    BottomUp(),
25    MinTrace(method='mint_shrink')
26]
27hrec = HierarchicalReconciliation(reconcilers=reconcilers)
28Y_rec_df = hrec.reconcile(Y_hat_df=Y_hat_df, S=S, tags=tags)
29
30# View results
31print(Y_rec_df.head())