Has anyone tried week numbers (sin & cos) as exogenous variables with ARIMA? Does it generally improve the forecast?

hey @Farzad E! That might be a good approach, but in the end, it depends on the data. here’s an interesting reference on the topic: https://otexts.com/fpp3/complexseasonality.html#dynamic-harmonic-regression-with-multiple-seasonal-periods Also, you could use the MSTL model to capture the seasonal components of your time series.

@fede (nixtla) (they/them) much appreciated! Thanks!