mlsanityData to 14 Oct 2026

Global tree forecasters collapse at the hierarchical aggregate: a five-panel failure characterization

arXiv 2609.27912 ↗First posted 21 Aug 2026cs.LG econ.EM stat.APcited by 0

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Abstract (arXiv)

Global forecasting models pool many series and learn one shared function. Gradient-boosted trees are their most common form. We measure a failure of this design that has not, to our knowledge, been documented. Train a global tree on the individual series of a hierarchy, then ask it for the hierarchical aggregate. The aggregate sits far outside the model's training range, and the forecast collapses. The model under-predicts the total by 30-50x in our production deployment, and by up to 496x in a public M5 reconstruction. The mechanism is known: beyond its training range, a tree predicts a constant. It surfaces at the aggregate because the total dwarfs every training series. The cure is not new. Per-series scaling, the preprocessing step that Montero-Manso and Hyndman (2021) recommend, prevents the collapse. So do a weighted aggregate-level training row and seasonal differencing. Our contribution is the characterization. The collapse reproduces on five panels: a production business-to-business marketplace, a synthetic hierarchy, M5, Australian Tourism, and a public business-buyer panel. It holds on three tree libraries, is invariant across training seeds, and is statistically significant. Its onset is immediate and tracks a simple support bound: a scale gap of only 1.15x already costs a third of the total. No standard configuration change prevents it: pooling every hierarchy level into training fails at scale, and the one knob that fits linear models in the leaves softens it without curing it. Rolling the forecasts forward recursively separates the cures: the aggregate-row cure re-collapses, per-series scaling degrades but stays low, and only seasonal differencing keeps its one-step accuracy unchanged. We close with a three-step procedure for diagnosing and preventing the failure in deployed systems.

Key facts. No citing papers in the map yet (data through 14 Oct 2026). Builds on 10 of its 28 references that are in the map. First posted on arXiv 21 Aug 2026.

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References · 10

  1. 2016XGBoost: A Scalable Tree Boosting Systemcited by 5,166
  2. 2017DeepAR: Probabilistic Forecasting with Autoregressive Recurrent Networkscited by 1,013
  3. 2021Monash Time Series Forecasting Archivecited by 267
  4. 2020Principles and Algorithms for Forecasting Groups of Time Series: Locality and Globalitycited by 70
  5. 2022Criteria for Classifying Forecasting Methodscited by 48
  6. 2021Hierarchical forecasting with a top-down alignment of independent level forecastscited by 6
  7. 2024Forecasting with Hyper-Treescited by 1
  8. 2024Local vs. Global Models for Hierarchical Forecastingcited by 1
  9. 2026Do Stationarity Transformations Actually Improve Time Series Forecasts? A Controlled Experimental Evaluationcited by 1
  10. 2026Delta-Based Target Reformulation for Short-Term Electricity Load Forecasting Using LSTM and Transformer Modelscited by 1

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