From Many Models, One: Macroeconomic Forecasting with Reservoir Ensembles
This study investigates combining multiple Multi-Frequency Echo State Networks (MFESNs) using ensemble learning schemes like Hedge and Follow-the-Leader. The combination significantly improves forecasting performance over single models, with Follow-the-Leader proving most effective. This method offers substantial error reduction, up to 51% for some models, while simplifying the complex hyperparameter tuning process.