> I don't think it's untill you get to the NN based models that they start treating time as a first-class component in the model. They're bad at prediction for

> I don't think it's untill you get to the NN based models that they start treating time as a first-class component in the model. They're bad at prediction for the past several m1-m4 time series tournament for univariate. The best one for m4 is a combination of NN and traditional statistical regression (time series) but it is often deem too tailor to the data. And I don't think differencing out the trend, season, etc... means we're treating the time component as second class. It's just that stationary data is what we know the most currently. There is GARCH/ARCH method too. The nonstationary methods aren't used as often and from the tournaments the current set of time series are the best so far. So I think this comment is misleading. There is also longitudinal analysis, survival analysis, etc... and they all keep time in mind.