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PW initialization #124

Merged
merged 4 commits into from
Dec 8, 2022
Merged

PW initialization #124

merged 4 commits into from
Dec 8, 2022

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kdgutier
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@kdgutier kdgutier commented Dec 8, 2022

This change does not affect high-level functionalities.
It is iterative work towards refactorization of the core's reconcile function.

  • Added P,W matrices to ProbReconciler's initialization.
  • Homogeneizing ProbReconciler's get_samples and get_prediction_levels methods.
  • Momentarily hacked _reconcile function to inherit P,W into ProbReconciler class.
  • Deprecated boostrap-mean from PERMBU, and Bootstrap reconcilers for original mean.
  • Rerun PERMBU/Bootstrap example nbs to account for deprecated bootstrap-mean.
  • Changed n_samples argument name to num_samples to match that of NeuralForecast.

PENDING:

  • Continue homogeneization of ProbReconciler's methods.
  • Change order of instantiation of MeanReconciler, followed by ProbReconcilers in core.
  • Add get_samples to Normality ProbReconciler.

@kdgutier kdgutier requested a review from cchallu December 8, 2022 16:16
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@cchallu cchallu merged commit 9ea484b into main Dec 8, 2022
@cchallu cchallu deleted the pw_initializer branch December 8, 2022 17:26
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2 participants