# Hierarchically Coherent Multivariate Mixture Networks

arXiv: https://arxiv.org/abs/2305.07089 · HTML: https://mlsanity.com/paper/2305.07089/

## Key facts

- No citing papers in the map yet (data through 14 Oct 2026).
- Builds on 15 of its 49 references that are in the map.
- First posted on arXiv 11 May 2023.

## Builds on (most cited first, 15 of 15)

- [PyTorch: An Imperative Style, High-Performance Deep Learning Library](https://mlsanity.com/paper/1912.01703/) (2019)
- [A Time Series is Worth 64 Words: Long-term Forecasting with Transformers](https://mlsanity.com/paper/2211.14730/) (2022)
- [An Empirical Evaluation of Generic Convolutional and Recurrent Networks for Sequence Modeling](https://mlsanity.com/paper/1803.01271/) (2018)
- [DeepAR: Probabilistic Forecasting with Autoregressive Recurrent Networks](https://mlsanity.com/paper/1704.04110/) (2017)
- [Temporal Fusion Transformers for Interpretable Multi-horizon Time Series Forecasting](https://mlsanity.com/paper/1912.09363/) (2019)
- [N-BEATS: Neural basis expansion analysis for interpretable time series forecasting](https://mlsanity.com/paper/1905.10437/) (2019)
- [High-Dimensional Multivariate Forecasting with Low-Rank Gaussian Copula Processes](https://mlsanity.com/paper/1910.03002/) (2019)
- [Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx](https://mlsanity.com/paper/2104.05522/) (2021)
- [Simultaneously Reconciled Quantile Forecasting of Hierarchically Related Time Series](https://mlsanity.com/paper/2102.12612/) (2021)
- [Probabilistic Hierarchical Forecasting with Deep Poisson Mixtures](https://mlsanity.com/paper/2110.13179/) (2021)
- [Probabilistic forecast reconciliation under the Gaussian framework](https://mlsanity.com/paper/2103.11128/) (2021)
- [Hierarchically Regularized Deep Forecasting](https://mlsanity.com/paper/2106.07630/) (2021)
- [HierarchicalForecast: A Reference Framework for Hierarchical Forecasting in Python](https://mlsanity.com/paper/2207.03517/) (2022)
- [When Rigidity Hurts: Soft Consistency Regularization for Probabilistic Hierarchical Time Series Forecasting](https://mlsanity.com/paper/2206.07940/) (2022)
- [Dirichlet Proportions Model for Hierarchically Coherent Probabilistic Forecasting](https://mlsanity.com/paper/2204.10414/) (2022)

## Abstract (arXiv)

Large collections of time series data are often organized into hierarchies with different levels of aggregation; examples include product and geographical groupings. Probabilistic coherent forecasting is tasked to produce forecasts consistent across levels of aggregation. In this study, we propose to augment neural forecasting architectures with a coherent multivariate mixture output. We optimize the networks with a composite likelihood objective, allowing us to capture time series' relationships while maintaining high computational efficiency. Our approach demonstrates 13.2% average accuracy improvements on most datasets compared to state-of-the-art baselines. We conduct ablation studies of the framework components and provide theoretical foundations for them. To assist related work, the code is available at this https://github.com/Nixtla/neuralforecast.