Hierarchical Time Series Forecasting with Operator-Valued Kernels
Junjie Yang (LPSM)Adeline Fermanian (LMOIUF)Claire Boyer (LMOIUF)G\'erard Biau (LPSM)
Oct 2026
Machine LearningData Science
Abstract
Hierarchical time series forecasting requires generating accurate predictions that are coherent across multiple levels of aggregation. Existing methods either rely on two-stage pipelines with post-hoc reconciliation or on end-to-end models that often lack statistical guarantees. We introduce a unified framework that formulates hierarchical forecasting as a multivariate regression problem in a vector-valued reproducing kernel Hilbert space. By designing structured operator-valued kernels, our approach enforces coherence directly within the hypothesis space, ensuring that all predictions satisfy hierarchical constraints by construction. We further propose tailored kernel constructions for hierarchical data and derive excess risk bounds that characterize generalization performance. Empirical results on synthetic and real-world datasets demonstrate the relevance of the proposed method.
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