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Nixtla / statsforecast

Lightning ⚡️ fast forecasting with statistical and econometric models.
https://nixtlaverse.nixtla.io/statsforecast
Apache License 2.0
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[Library component: Ensemble Modeling] #555

Open NudnikShpilkis opened 1 year ago

NudnikShpilkis commented 1 year ago

Description

Ensemble Modeling. Average multiple models together for better more accurate predictions.

Use case

Have a "model" that ensembles other model predictions. The ensemble model should take in the aliases of the other models and average (weighted?) their predictions. An automated version could use cross-validation to choose which models to ensemble.

kvnkho commented 1 year ago

Connected to https://github.com/Nixtla/statsforecast/issues/520