Comments (4)
Recursive forecasting available for multivariate forecasting
This is quite challenging because this hybrid strategy requires each individual series to be predicted internally so that the predicted values can then be used as input features by a second model. We have skipped this so far because the idea of this approach being too computationally expensive, but we could do some experimentation to test its feasibility.
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Hello Kishan,
Thanks for your comments,
Direct forecasting available for multi-series forecasting.
This is something we have pending. Since we are still developing new features for ForecasterMultiseries
, we will wait for a more stable version before implementing it.
Recursive forecasting available for multivariate forecasting.
As it is now, the ForecasterAutoregMultiVariate
is only trained in one level (series 1 or series 2) and creates one model per step (direct approach). In the figure, let's say that if you specify level = 'Series 1'
when creating the Forecaster, it will only use the training matrix at the top.
Since this forecaster needs the future values of the series to predict the following steps, it needs 2 models (one for each series) to make it recursive and call them in parallel. Predict step 1 for both series, predict step 2 for both series...
Is that what you have in mind?
A consistent naming approach
Completly agree. We have this figure in the repo page and documentation to help the users with this problem:
https://skforecast.org/latest/#forecasters
https://github.com/JoaquinAmatRodrigo/skforecast#forecasters
Best,
Javi
from skforecast.
The names of the Forecasters definitely need to be revisited, the family is growing and at some point we need to make the naming more intuitive. This may require some proper alias management to avoid breaking compatibility. ยกMaybe one day we are ready for version 1.0.0. ! ๐ ๐
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Recursive forecasting available for multivariate forecasting
This is quite challenging because this hybrid strategy requires each individual series to be predicted internally so that the predicted values can then be used as input features by a second model. We have skipped this so far because the idea of this approach being too computationally expensive, but we could do some experimentation to test its feasibility.
Yes I agree. This would be computationally challenging. I think there are other features which are easier to add to skforecast
which would add more value.
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Related Issues (20)
- `ForecasterAutoreg` fails to fit when `exog` do not have string column names HOT 1
- `ForecasterAutoreg` fails to fit when index do not start from 0 HOT 3
- How to use it with planning input or other forecast as a guide? HOT 5
- grid_search_sarimax stuck without any progress HOT 1
- Back testing HOT 1
- Backrest and hyper parameter tuning HOT 1
- Just a question about probabilistic forecasting HOT 3
- Naming convention for backtesting methods HOT 2
- Feature request regarding time series with different lengths HOT 5
- bayesian_search_forecaster (Optuna) & Saving/Resuming Study with RDB Backend HOT 1
- A single model multivariate forecaster HOT 3
- Issue saving ForecasterSarimax object HOT 4
- Custom predictors are inefficient for window features HOT 1
- grid_search_sarimax takes a very long time to run HOT 1
- Feature request: Add ability to skip steps in backtesting HOT 6
- Bad error handling when Index is neither RangeIndex nor DateIndex HOT 3
- Why do i have faster runtime when using more frequent refits HOT 2
- syntax error !! HOT 1
- Feature request: Custom predictors for multivariate forecasting
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