1 Multiple Model Regression Method

The Multiple Model Regression (MMR) method is an ensemble learning technique used in
predictive modeling and forecasting. In MMR, instead of relying on a single regression model to
make predictions, multiple regression models are trained, and their outputs are combined to
produce a final prediction. Each individual model within the ensemble is typically trained on a
subset of the data or using a different algorithm

1.1 Stages of the Multiple Model Regression (MMR) Method

Training: Train multiple regression models, each on a subset of the training data or using different
features/variables. The subset of data can be randomly sampled or selected based on certain
criteria.
Train each model on a subset of historical data.
Reserve the most recent data points for validation.

Validation: Validate each individual model using a separate validation set or a portion of the
training data. This step is essential to assess the performance of each model on data it hasn't
seen during training.
Validate each model using historical data immediately preceding the current time step.

Gating: Apply a gating mechanism or selection criteria to determine which models will be used
for making predictions. The gating mechanism can be based on the performance of each model
during validation.
Apply a gating method to select a model based on its performance during validation.

Model Combination: Combine the outputs of the selected models to produce the final
prediction. The combination can be a simple average, weighted average, or more sophisticated
method depending on the context.

Testing: Use the selected model to generate a prediction for future time steps.

The idea behind the Multiple Model Regression method is that by combining multiple models,
each trained on a different subset or aspect of the data, the ensemble can capture a broader
range of patterns and relationships within the data. This can lead to improved overall predictive
performance and robustness compared to using a single model.

1.2 Performance Measurement

The measure of a model's performance or the criteria for identifying the best model depends on
the application.

In summary, this methodology involves training multiple models on historical data, validating
their performance, using a gating mechanism to select the most suitable model, and then
applying the chosen model for making predictions. The success of the method is contingent on
effective training, validation, and gating processes, with performance metrics such as RMSE
helping identify the best model for the forecasting task.