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On this topic, does anyone know of a suitable time-series forecaster for multivariate analysis? Eg 8 independent/input variables, and one output variable? I've
by chubs 3y ago
On this topic, does anyone know of a suitable time-series forecaster for multivariate analysis? Eg 8 independent/input variables, and one output variable? I've been using multiple linear regression (which works impressively!) but it doesn't take into account the time series, only the single prior day of inputs. Thanks :)
- naijaboiler 3y agoi use GLM with my own hand-crafted features based on my knowledge of the business and the things that influence it. Works very very well
- chubs 3y agoThanks! I take it that this means a Generalised Linear Model? Could i ask for a link to a relevant article to get me started on the flavour of GLM that you recommend?
- GraceCat123 3y agoIn Machine Learning conference papers, a common approach is to model relationships between variables using Graph Neural Networks (GNNs). Using GNNs is a powerful and flexible way to go. Maybe you can give it a try!
- EricLeer 3y agoNot really sure what you are looking for, but the easiest might be to just add lags of your input variables in the same linear model that you are using. If you are looking for an actual timeseries method I would checkout either darts [0] or statsforecast [1]. They are currently the most mature timeseries packages. [0] https://unit8co.github.io/darts/ https://unit8co.github.io/darts/ [1] https://github.com/Nixtla/statsforecast https://github.com/Nixtla/statsforecast