REGAIN: REconciliation GAIN-driven Auxiliary Direction Learning
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Abstract (arXiv)
Forecast reconciliation usually starts from a fixed measurement system and asks how forecasts should be projected onto a coherent space. We ask a different question: which additional linear measurements should be forecast and included in the reconciliation system? We propose REGAIN, a reconciliation-gain framework that learns normalized auxiliary directions, forecasts the induced series with a frozen forecasting oracle, and selects directions by their target-weighted loss reduction after augmented generalized least-squares reconciliation. Unlike variance-based components or predictability-based auxiliary selection, REGAIN optimizes the downstream effect of an auxiliary measurement on the final reconciled forecasts. We provide a statistical characterization showing that useful auxiliary directions must provide complementary information about unresolved target uncertainty, rather than merely being easy to forecast. The analysis also clarifies the covariance-risk reduction mechanism, the role of bias changes in realized quadratic risk, and the stability of estimated gain signals. A stagewise learning algorithm with held-out gain screening is developed, together with an optional joint refinement step. Experiments on Beijing PM2.5 and Australian Tourism data show that gain-selected measurements can improve both ordinary multivariate and hierarchical forecasts, especially when they reveal residual uncertainty not captured by the original measurement system.
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References · 15
- 2024Chronos: Learning the Language of Time Seriescited by 759
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- 2023Large Language Models Are Zero-Shot Time Series Forecasterscited by 500
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- 2024Revitalizing Multivariate Time Series Forecasting: Learnable Decomposition with Inter-Series Dependencies and Intra-Series Variations Modelingcited by 44
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- 2024Towards a General Time Series Forecasting Model with Unified Representation and Adaptive Transfercited by 32
- 2020Cross-temporal forecast reconciliation: Optimal combination method and heuristic alternativescited by 7
- 2023Cross-temporal probabilistic forecast reconciliation: Methodological and practical issuescited by 4
3 more
- 2017A New Method for Performance Analysis in Nonlinear Dimensionality Reductioncited by 3
- 2024Constructing hierarchical time series through clustering: Is there an optimal way for forecasting?cited by 1
- 2024Forecast Linear Augmented Projection (FLAP): A free lunch to reduce forecast error variancecited by 1
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