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Yes, it's an extension of linear regression. You can incorporate different basis functions to model trend, seasonality, the effects of external regressors, dif
by chroem- 7y ago
Yes, it's an extension of linear regression. You can incorporate different basis functions to model trend, seasonality, the effects of external regressors, different frequency components, etc. It gives you a lot more control over the forecast model.
- riyadparvez 7y agoAre you referring to Generalized Additive Models (GAM)?
- semi-extrinsic 7y agoI think GAMs are more for the case where you have many underlying input variables and a single resulting response.
- XuMiao 7y agoThis is a less studied senario for time series research: contextual forecasting. With enough contextual information, forecasting doesn't need to squeeze the information from its own history that hard.