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Options for ensembling forecasters

See original GitHub issue

Is your feature request related to a problem? Please describe.

Currently ensemble forecasting model only supports mean reduction as outlined here. Can we add more options similar to this.

Describe the solution you’d like

Provide options to combine the forecasts using

Median
Min/Max
Weighted (currently defaults to mean which is equal weighting, but user could provide custom weighting for each model)

Issue Analytics

State:
Created 3 years ago
Reactions:2
Comments:12 (4 by maintainers)

Top GitHub Comments

2reactions

fkiralycommented, Jan 8, 2021

Remembering that we have already some architecture for weighted forecasting ensembles (see PR #333), I was wondering whether it would make sense to involve @magittan in the discussion to see how we integrate this with the current ensembling sub-module?

I think it would make a lot of sense to come up with a joint/consolidated design for forecasting ensembles that’s flexible and composable - given that there already is one for weighted ensembles and on-line ensembles.

1reaction

ngupta23commented, Jan 9, 2021

PS, @ngupta23: Min/Max is usually not very robust (extremely outlier sensitive), high/low quantiles are usually better

Yeah, I personally was more interested in the median (instead of mean) for the same reason. The only reason I added min/max there was due to the compatibility with hcrystalball. I would be OK if you decide not to include min/max.

Adding option for quantiles would be good in lieu of min/max.

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