Apply Ensemble for timeseries forecasting

Question

I'm using multiple timeseries models like ARIMA, holtwinters, prophet. Now I want to do ensemble of all this and produce the results . I need suggestions what is the best way to apply ensemble on timeseries. Please help. I'm new to this.

score 2 · Answer 1 · answered Sep 19 '17 at 09:27

There is a recent package called tsensembler (full disclose, I am the author).

link for documentation with useful examples

link for github

It essentially trains a set of regression models for predicting the next value(s) of the time series, and combines them automatically using a metalearning approach. The scientific basis was presented in the conference ECML-PKDD2017, and it won the best student machine learning paper award.

score 0 · Answer 2 · answered Jul 29 '17 at 00:10

0

I suggest exploring the opera package.

install.packages("opera")

Here is the vignette: https://cran.r-project.org/web/packages/opera/vignettes/opera-vignette.html

answered Jul 29 '17 at 00:10

Justin

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score -1 · Answer 3 · answered Jul 29 '17 at 04:13

-1

The following link provides sample code and walks through using two ensemble packages in R. The packages are 'opera' and 'forecastHybrid'.

Opera & forecastHybrid

answered Jul 29 '17 at 04:13

Data Junki

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Apply Ensemble for timeseries forecasting

3 Answers3