autogluon / autogluon/autogluon

[timeseries] Add sample_weight support to TimeSeriesPredictor

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#4,852 0 comments 1 reaction 1 assignee Claimed by @shchur View on GitHub
enhancement module: timeseries
Dominant language
Python
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Description

## Description
Add an option to customize the sample weight used by time series forecasting metrics.

There are two types of weighting that would be interesting:
- [x] `horizon_weight`: one weight assigned to each time step in the forecast horizon (planned for v1.3, #5058)
- [ ] `item_weight`: one weight assigned to each item in the dataset (planned for v1.4+)

## References
- [ ] Find examples in other forecasting libraries to find reasonable names in the API.

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