Design a hierarchical forecast for transactions

Stripe wants a country×industry daily GMV forecast for the next 90 days (2025-09-01 to 2025-11-29) using 3+ years of history. You have features: day-of-week, country holidays, marketing_spend_usd, avg_risk_score, FX rates to USD, CPI, and known product launch flags. Design an end-to-end, hierarchical solution:

• Modeling: Compare ETS/Prophet-like additive seasonality vs gradient-boosted trees on TS features vs global RNN/Temporal Fusion Transformer. Pick one primary approach and specify how you’ll reconcile segment forecasts to the country and global totals (e.g., MinT, BU, TOPDOWN). Provide concrete formulas or references for reconciliation and why they fit Stripe’s cross-sectional structure.
• Cross-validation: Specify rolling-origin CV with initial window, step size, and number of folds; include leakage-avoidant feature construction. Define the primary metric as wMAPE weighted by segment GMV; justify choice over RMSE/MAPE/Pinball loss.
• Intermittent/sparse series: Propose a method (e.g., Croston/TSB, zero-inflated models) and how you’ll blend it with the main model via meta-learning.
• Cold-start segments: Outline partial pooling or hierarchical Bayesian shrinkage across industries within a country; define priors and hyperparameters.
• Exogenous regressors: Which to include, how to lag/transform FX, CPI, and marketing; how to handle non-stationarity and scale.
• Outliers/regime shifts: Detect and treat events (e.g., policy change on 2024-07-01) using robust loss or event dummies; explain your decision rules.
• Uncertainty: Produce calibrated 90% prediction intervals (conformal, quantile regression, or simulation); describe calibration diagnostics.
• Monitoring/retraining: Define drift tests, alert thresholds, retrain cadence, and rollback criteria.
• Limitations: List 3 failure modes and mitigations. Answer with a specific pipeline (data prep steps, model classes, key hyperparameters, reconciliation method, and evaluation design).