Tia Guo

04/06/2023, 8:27 PM
Hi all, I am using statsforecast library while including multiple exogenous variables. Are there any best practices to analyze the impacts/importance of these features and to select the most efficient set of features?

fede (nixtla) (they/them)

04/08/2023, 5:37 PM
hey @Tia Guo! This problem is usually complex if you have a lot of external regressors. One approach would be to iterate over the different combinations of external regressors using cross-validation to recover the features that minimize the validation loss. The set of possible combinations could be created based on domain knowledge to avoid iterating over all of them.
❤️ 1


04/09/2023, 12:24 PM