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Do you have any plans to implement some sort of model averaging or stacking? I believe it would bring great benefits to this landscape to have a working impleme
by kachnuv_ocasek 5y ago
Do you have any plans to implement some sort of model averaging or stacking? I believe it would bring great benefits to this landscape to have a working implementation of hierarchical stacking across various backends wrapped in a Python library.
- hrzn 5y agoWe do have ensemble models. Something like model = NaiveEnsembleModel([model1, model2, ...]) model.fit(my_series) prediction = model.predict() Will return an average prediction. Look at RegressionEnsembleModel for an ensemble model which uses a regression model to learn how to combine the individual forecasts. At the moment Darts doesn't have hierarchical reconciliation methods (if that's what you meant), but it's on the backlog :)