HINT: Hierarchical Mixture Networks For Coherent Probabilistic Forecasting

We present the Hierarchical Mixture Networks (HINT), a model family for efficient and accurate coherent forecasting. We specialize the networks on the task via a multivariate mixture optimized with composite likelihood and made coherent via bootstrap reconciliation. Additionally, we robustify the networks to stark time series scale variations, incorporating normalized feature extraction and recomposition of output scales within their architecture. We demonstrate 8% sCRPS improved accuracy across five datasets compared to the existing state-of-the-art. We conduct ablation studies on our model's components and extensively investigate the theoretical properties of the multivariate mixture. HINT's code is available at this https://github.com/Nixtla/neuralforecast.