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Add AutoRegressivePipeline to etna #173

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iKintosh opened this issue Oct 11, 2021 · 0 comments · Fixed by #209
Closed
3 tasks done

Add AutoRegressivePipeline to etna #173

iKintosh opened this issue Oct 11, 2021 · 0 comments · Fixed by #209
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enhancement New feature or request

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@iKintosh
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🚀 Feature Request

Add AutoRegressivePipeline class that applies model in autoregressive style.

Motivation

According to Kaggle competitions there are numerous cases when applying regressor models in autoregressive style beats their classic kind.

Proposal

Add class AutoRegressivePipeline.
It should implement this interface:

AutoRegressivePipeline(model, transforms, horizon, step=1)

Where step show after how many steps features will be recalculated, also this value will be used as horizon parameter in TSDataset.make_future

Test cases

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Additional context

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Checklist

  • Added feature request
  • Added motivation
  • Added proposal
@iKintosh iKintosh added the enhancement New feature or request label Oct 11, 2021
@Mr-Geekman Mr-Geekman self-assigned this Oct 15, 2021
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