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Add model bagging
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.
Potential interface:
bagged_model(<model_spec>, bag_decomposition(<decomposition_spec>, times = 100))
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