Create HierarchicalPipeline

[alex-hse-repository]

🚀 Feature Request

Create pipeline to process hierarchical time series

Proposal

Create class:

class HierarchicalPipeline(Pipeline):
    def __init__(
                self,
                reconciler: BaseReconciler,
                model: ModelType,
                transforms: Sequence[Transform] = (),
                horizon: int = 1
    ):

1. Implement method fit:

• Fit the reconciler using reconciler.fit method
• Aggregate dataset on the source_level using reconciler.aggregate
• Call the fit method of super class with generated dataset

2. Implement method raw_forecast()

• Call the forecast method of the super class

3. Implement method forecast()

• Call the raw_forecast
• Generate the target dataset using reconciler.reconcile

Test cases

1. Test that after fit pipeline saves correct ts on the source_level of reconciler
2. Test that raw_forecast generates forecast on the source_level of reconciler
3. Test that forecast generates forecast on the target_level of reconciler
4. Test that backtest works and produce correct metrics(you can use constant dataset for example)

All the tests should cover both top-down and bottom-up reconcilers with correct source and target levels

Additional context

blocked by #1037 #1038 #1044