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Add model bagging

Open mitchelloharawild opened this issue 4 years ago • 2 comments

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 avatar Jun 12 '20 02:06 mitchelloharawild

Potential interface:

 bagged_model(<model_spec>, bag_decomposition(<decomposition_spec>, times = 100))

mitchelloharawild avatar Aug 11 '20 00:08 mitchelloharawild

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

mitchelloharawild avatar Dec 17 '20 00:12 mitchelloharawild