Predicting Forecast Errors of Ensemble Regression Models

Peter Laurinec builds a model to test a model:

In the last blog post about Multistep forecasting losses, I showed the usage of the fantastic method adam from the smooth R package on household electricity consumption data, and compared it with benchmarks.

Since I computed predictions from 10 methods/models for a long period of time, it would be nice to create some ensemble models for precise prediction for our household consumption data. For that purpose, it would be great to predict for example future errors of these methods. It is used in some known ensemble methods, which are not direct about stacking. Predicting errors can be beneficial for prediction weighting or for predicting the rank of methods (i.e. best one prediction). For the sake of learning something new, I will try multivariate regression models, so learning from multiple targets at once. At least, it has the benefit of simplicity, that we need only one model for all base prediction models.

Click through for Peter’s process. H/T R-Bloggers.