btw we’re starting to get some pretty conclusive results re: neuralforecast performance as benchmarked against xgboost, catboost, lightgbm etc. @Valeriy not sure if you’ve had a chance to wrap up your analysis but seems pretty clear at this point the conclusion from https://arxiv.org/abs/2106.03253 is bogus
we can definitely attest to a difference in ease of tuning, but the lift against xgboost is significant (at least in our domain) and persists across ~95% of all of our ~1k forecasting tasks
11/08/2022, 11:23 AM
XGBoost is all about creating features. Could this be the issue?
11/08/2022, 11:25 AM
we ran both with and without tsfresh features, same finding held up.