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Merlin

03/14/2023, 4:34 PM
Hi I was trying to use AutoARIMA with Exogenous Regressors (https://nixtla.github.io/statsforecast/examples/exogenous.html) for my current ts problem. 1. Is it a normal limitation for the AutoARIMA model that I need to know all the future regressors (it seems to me that I can only use obvious features like "is_holiday" or "weekday_sin/cos" then)? 2. I would like to compare it to my cross-validation runs. Are you planning to implement this for exo regressions as well?
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Mariana Menchero

03/14/2023, 6:35 PM
Hi Merlin, Regarding your first question, I think that's a limitation inherent to the model and not just to StatsForecast's implementation. If you don't have the future values of the exogenous regressors, then you can forecast them first. This adds another layer of uncertainty, but might work with your data (you need to test it). I've done it before with prices when forecasting for a retailer and got acceptable results.
Regarding your second question, you can use exogenous regressors in crossvalidation. See the API for reference. https://nixtla.github.io/statsforecast/core.html#statsforecast.cross_validation
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Merlin

03/15/2023, 10:06 AM
Okay, thank you for taking the time to respond 🙂 Future exogenous values are just taken from the training set for cross-validation. For pre-known future features like "is_weekend", 'is_holiday" this is a valid approach, but in case they are unknown, there is no separate prediction (cf. https://github.com/Nixtla/statsforecast/blob/main/statsforecast/core.py#L289). Maybe you could outline this to others in a tutorial. I suppose for more sophisticated predictions, I will be better off using neuralforcast then?
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fede (nixtla) (they/them)

03/15/2023, 10:36 PM
hey @Merlin! Currently, statsforecast doesn’t support the distinction between historical exogenous variables and future exogenous variables (available at the time of the prediction). For that kind of modeling, we suggest using neuralforecast :)
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Merlin

03/17/2023, 2:07 PM
Is there a way to use exogenous variables with the AutoLSTM etc. in neuralforecast?
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fede (nixtla) (they/them)

03/17/2023, 7:16 PM
hey @Merlin! Yes, here’s an example of how to include exogenous variables: https://nixtla.github.io/neuralforecast/examples/exogenous_variables.html For the auto versions, you have to include the
futr_exog_list
,
hist_exog_list
, and
stat_exog_list
in your hyperparameter grid
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