Is nonnegative hierarchical time series reconciliation implemented in sktime?

[elenagutiv]

I'm using sktime to perform time series forecasting and hierarchical reconciliation. For the latter I am using the ReconcilerForecaster class with the OLS method. My question is: is there a way to obtain nonnegative revised forecasts after the reconciliation step using ReconcilerForecaster?

I am aware of other implementations of this restriction for hierarchical TS reconciliation, like the library hierarchicalforecast (HierarchicalForecast library) where the MinTrace and OptimalCombination reconciliation classes allow to define the restriction nonnegative = True for getting always nonnegative revised forecasts. I wanted to know if there's a way to specify this restriction in sktime?

[fkiraly]

hm, interesting question. The Reconciler or ReconcilerForecaster themselves do not have this.

The easiest way to get nonnegative forecasts are using the FunctionTransformer with the function lambda x: max(0, x) or similar, and using it in a pipeline after the ReconcilerForecaster, i.e., my_reconciler * FunctionTransformer(nonneg_fun)

This is not exactly the same as you describe, as this is after applying the reconciler, and the nixtla forecaster has this as a parameter of the method.

We're currently in the process of interfacing the nice nixtla libraries under consistent interfaces:
#4643
so, if you'd like to help by contributing an interface to the hierarchical forecasters (e.g., NixtlaReconciler), that would be useful.

A de-novo implementation of course would also be useful, if it can be easily added by using the internal methods of the sktime internal ReconilerForecaster.

[fkiraly]

FYI @yarnabrina, @ciaran-g

[elenagutiv]

Thanks for your quick response @fkiraly! As you mentioned, forcing the nonnegative restriction after reconciling would loose the reconciliation property of forecasts of adding up in a manner that is consistent with the aggregation structure.
Thanks a lot for your continuous contributions to the library, I'll keep mysef posted.