Recursive ensemble?
krzjoa opened this issue · 2 comments
krzjoa commented
In fact, this feature would have to be implemented in modeltime
package, but I decided to put it here.
Recursive ensemble instead of ensemble of recursive models may have two potential cons:
- We expect the ensemble's forecast to be more accurate in terms of RMSE, MAPE etc., so the input data for the next steps should be better too
- We add lagged data once per every time step (and do not recreate it in every sub-model individually)
I could implement it, if you'd be interested in. I've already made a PoC of recursive ensemble, but using stacks
.
By the way, it's interesting that in the stacks
you cannot simply juxtapose a set off models - we always have to wrap them with some objects for parameter tuning.