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Add model bagging #217

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mitchelloharawild opened this issue Jun 12, 2020 · 2 comments
Open

Add model bagging #217

mitchelloharawild opened this issue Jun 12, 2020 · 2 comments

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@mitchelloharawild
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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
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Potential interface:

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

@mitchelloharawild
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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: tidyverts/feasts#122

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