@Max (Nixtla) it is settled bigly, I didn't pin big hopes on it as it is still curve fitter but AR terms were improvement even then my own tests indicated “deepAR” didn't improve much compared to linear AR. Even then to see it losing to ES is big news.
@Max (Nixtla)@Kin Gtz. Olivares quick question - what sort of ES model is under the hood? Is there some document describing it, presumably it is some sort of similar to auto ARIMA with automatic hyperparameter optimisation?
I was editing the post and I erased the other thing I wrote about the nelder mead. Either way, we are preparing a post explaining that particular aspect and making that particular optimization method available to the community.
08/21/2022, 3:41 PM
Nice, thanks for sharing. Got to see SKTime opened their lib to other implementations.