tidyverts / fabletools

General fable features useful for extension packages
http://fabletools.tidyverts.org/
90 stars 31 forks source link

Add model bagging #217

Open mitchelloharawild opened 4 years ago

mitchelloharawild commented 4 years ago

forecast::baggedModel()

It should accept a model definition for decomposition, and then use a time series bootstrap to produce bootstrapped residuals for the decomposition, which are then recombined to give bootstrapped data.

The resulting series are then applied to a model definition for modelling. Components including fitted values and residuals are averaged, and forecasts should produce a set of point forecast paths.

mitchelloharawild commented 4 years ago

Potential interface:

 bagged_model(<model_spec>, bag_decomposition(<decomposition_spec>, times = 100))
mitchelloharawild commented 3 years ago

Alternative interface, based on generate() to produce simulated data similar to the response:

 bagged_model(<model_spec>, <generate_spec>, ...)

Some arguments for generate() will need to be passed by ....

Ref: https://github.com/tidyverts/feasts/issues/122