Understanding the competition and the data

The competition (https://www.kaggle.com/competitions/m5-forecasting-accuracy) ran from March to June 2020 and over 7,000 participants took part in it on Kaggle. The organizers arranged it into two separate tracks, one for point-wise prediction (accuracy track) and another one for estimating reliable values at different confidence intervals (uncertainty track). Our focus in this chapter will be to try to replicate one of the best submissions for the accuracy track and also pave the way for the uncertainty track (since it is based on the predictions of the accuracy one).

Walmart provided the data. It consisted of 42,840 daily sales time series of items hierarchically arranged into departments, categories, and stores spread in three U.S. states (the time series are somewhat correlated with each other). Along with the sales, Walmart also provided accompanying information (exogenous variables, usually not often provided in forecasting problems...