ensemble model updates - Githubissues

microsoft / finnts

Microsoft Finance Time Series Forecasting Framework (FinnTS) is a forecasting package that utilizes cutting-edge time series forecasting and parallelization on the cloud to produce accurate forecasts for financial data.

https://microsoft.github.io/finnts

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ensemble model updates #162

Open mitokic opened 4 months ago

mitokic commented 4 months ago

updated train test splits to not back test so far back into the future. Speeding up run time.
xgboost and glmnet are now the only models that are trained for ensembles. All other multivariate models are removed.
updated inputs in glmnet ensemble model to increase forecast accuracy