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Reversible Instance Normalization for `RegressionModel`

Open dennisbader opened this issue 1 year ago • 0 comments

Is your feature request related to a current problem? Please describe. Reversible Instance Normalization (RIN) has proven to be very effective for our neural network models (against distribution shift, ..). We could also add this to RegressionModel. I see potential especially for tree-based models, where RIN could help for data subjected to trend or increasing variance.

Describe proposed solution

  • Add use_reversible_instance_norm to RegressionModel
  • Transform the target lagged features in the X, and y arrays during training
  • Inverse transform y_pred

dennisbader avatar Mar 17 '24 13:03 dennisbader