Ensemble of models with different training periods
Say you had a model whose testing performance on timeseries data changed as you changed the length of the training period. A model trained with one particular training period length, however, was not consistently the top performer... On the same test sets, sometimes the model with 2 years of training performed best, sometimes the one with 1 year, or 18mos, etc.
I want to train a meta model that will choose which training period length-model to apply to the test set at any given time.
I looked at using the stacking operator, but, situated inside the validation process, varying length training periods won't work.
Can someone please suggest an alternate methodology (including meta model type)?