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Ensemble for global forecasting models #1038

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TamerAbdelmigid opened this issue Jun 25, 2022 · 0 comments · Fixed by #1745
Closed

Ensemble for global forecasting models #1038

TamerAbdelmigid opened this issue Jun 25, 2022 · 0 comments · Fixed by #1745
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improvement New feature or improvement

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@TamerAbdelmigid
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TamerAbdelmigid commented Jun 25, 2022

Is your feature request related to a current problem? Please describe.
I want to use two consecutive global forecasting model - I need fast inference times- back to back where the first predictions are treated as future covariates of the second model.

Describe proposed solution
A global ensemble model, that takes a list of global forecasting model and takes another global forecasting model as the regressor, but it should have save and load functionality and interfaces for interacting with each model parameters.

Describe potential alternatives
An alternative could be that global forecasting model that accepts a future covariates accept a model with the time series, and if supplied it uses that global model to first predict the required length of future covariates and consume them behind the scenes.

Additional context
We need a feature to enable us to use [stacking, boosting] concepts with global forecasting models as future covariates.

@TamerAbdelmigid TamerAbdelmigid added the triage Issue waiting for triaging label Jun 25, 2022
@hrzn hrzn added improvement New feature or improvement and removed triage Issue waiting for triaging labels Aug 23, 2022
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