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Book Overview & Buying
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Table Of Contents
Modern Time Series Forecasting with Python - Second Edition
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The recursive strategy is the oldest, most intuitive, and most popular technique to generate multi-step forecasts. To understand a strategy, there are two major regimes we have to understand:
Let’s take the help of a diagram to understand the recursive strategy:
Figure 18.2: Recursive strategy for multi-step forecasting
Let’s discuss these regimes in detail.
The recursive strategy involves training a single model to perform a one-step-ahead forecast. We can see in Figure 18.2 that we use the window function, W(Yt), to draw a window from Yt and train the model to predict Yt+1.
During training, a loss function (which measures the divergence between the output of the model,
, and the actual value, Yt+1) is used to optimize the parameters of the model.