Recursive ensemble?

[krzjoa]

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.

[mdancho84]

Hey @krzjoa feel free to make a PR. I'm all for improving the Modeltime Ecosystem. Put your ideas into code and showcase the results so I can test them out. Your role is to make the POC. My role is to test your POC and make sure it's ready for game time.

[mdancho84]

@krzjoa Nice work - I'm closing this. We'll have a vignette coming on recursive ensembles and recursive panel ensembles.