When Rigidity Hurts: Soft Consistency Regularization for Probabilistic Hierarchical Time Series Forecasting

TL;DR

PROFHiT is a probabilistic hierarchical time-series forecasting model that improves calibration, robustness, and adaptability by jointly modeling forecast distributions and introducing a novel distributional coherency regularization.

Contribution

It introduces PROFHiT, a fully probabilistic Bayesian model with a new regularization for hierarchical distributional coherency, addressing dataset inconsistencies and enhancing forecast reliability.

Findings

41-88% improvement in accuracy and calibration

Robust performance with up to 10% missing data

Significantly better calibration compared to existing methods

Abstract

Probabilistic hierarchical time-series forecasting is an important variant of time-series forecasting, where the goal is to model and forecast multivariate time-series that have underlying hierarchical relations. Most methods focus on point predictions and do not provide well-calibrated probabilistic forecasts distributions. Recent state-of-art probabilistic forecasting methods also impose hierarchical relations on point predictions and samples of distribution which does not account for coherency of forecast distributions. Previous works also silently assume that datasets are always consistent with given hierarchical relations and do not adapt to real-world datasets that show deviation from this assumption. We close both these gap and propose PROFHiT, which is a fully probabilistic hierarchical forecasting model that jointly models forecast distribution of entire hierarchy. PROFHiT uses a flexible probabilistic Bayesian approach and introduces a novel Distributional Coherency regularization to learn from hierarchical relations for entire forecast distribution that enables robust and calibrated forecasts as well as adapt to datasets of varying hierarchical consistency. On evaluating PROFHiT over wide range of datasets, we observed 41-88% better performance in accuracy and significantly better calibration. Due to modeling the coherency over full distribution, we observed that PROFHiT can robustly provide reliable forecasts even if up to 10% of input time-series data is missing where other methods' performance severely degrade by over 70%.