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ellisp / forecastxgb-r-package

An R package for time series models and forecasts with xgboost compatible with {forecast} S3 classes
GNU General Public License v3.0
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prediction intervals #5

Open ellisp opened 7 years ago

ellisp commented 7 years ago

We're reluctant to add this xgboost functionality to forecastHybrid until

  1. this time series implementation has been proven to work in a wide variety of situations (eg against Mcomp and Tcomp data at a minimum) ; and
  2. we have prediction intervals of some sort.

We might be able to mimic the approach used by forecast::nnetar.