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facebookresearch / Kats

Kats, a kit to analyze time series data, a lightweight, easy-to-use, generalizable, and extendable framework to perform time series analysis, from understanding the key statistics and characteristics, detecting change points and anomalies, to forecasting future trends.
MIT License
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Trying to compare individual models against ensemble model in BackTesterSimple object #116

Closed mturk24 closed 2 years ago

mturk24 commented 3 years ago

Hi there, I noticed an error when trying to compare backtester errors of individual models (such as ARIMA or Prophet) against an ensemble of these models (or even additional models) when using the BackTesterSimple object.

Specifically, ensemble objects are not callable when trying to run the backtest on each model.

Is there an easily replicable working example of trying to backtest an ensemble model against individual models using the BackTesterSimple object?

rohanfb commented 3 years ago

Any of the backtesters should work with an ensemble model without any additional steps. Can you share a code snippet with any errors you're encountering?

michaelbrundage commented 2 years ago

closing due to inactivity