4 ms·

How well does it work with irregularly spaced time series?

• lordgrenville 5y ago
  Just as well, in my experience, since it's curve-fitting and not autoregressive.
  • fighterpilot 5y ago
    Does it apply any kind of persistence/memory on the instantaneous exogenous variables you feed it? E.g. if you feed it the exogenous variable of "temperature right now", is it able to create a new exogenous feature "average temperature over the last three time steps"?
    • em500 5y ago
      No, you have to handcraft all (transformations) of exogenous features. But since it's really all linear regression, that's usually reasonably straightforward.
      • deleted 5y ago
        [deleted]