Hi, I am trying to train a multivariate time series model using NHITS model with hist_exogenous variable, I have loaded data into a pandas df and added unique_id column. data df contains these columns- unique_id, ds, y, and 50+ exogenous variables

models = [NHITS(h=horizon,
                input_size=2*horizon,
                hist_exog_list = cols)]

nf = NeuralForecast(
    models=models,
    freq='M')

Y_hat_df = nf.fit(df=data, val_size=36,)

I am getting this error while fitting the model

InvalidIndexError: Reindexing only valid with uniquely valued Index objects

Can you please tell me what I am doing wrong here.

Hi @Avi. A couple of things that could be happening: 1. Duplicates values of

unique_id

and

ds

, this should be unique. 2.

cols

is not a list. I am not sure it will work if you did

data.columns

because it is an Index object. You should convert it to a list:

list(data.columns)

(only include exogenous columns). You also have an extra

,

at the end of the

fit

method. Can you try removing the

hist_exog_list

? Run the exact same pipeline, with the same

data

, but do

hist_exog_list=None

. It would help to debug if the error is caused by the exogenous variables. Dont remove them from the

data

.

Can you please tell what exactly unique_id represent. Like I gave a static value to this column

unique_id can be of any type, it is only used to differentiate different time series in your dataset. If you only have one time series then it will be a constant value

I assigned a constant value, and all values in ds are unique

Then the issue is different. Have you tried my suggestion of removing the hyperparameter

hist_exog_list

?

Yes

can you show a screenshot with more details of the error? To see where is the error

sure

it seems that you have duplicates columns

Here's my df without exogenous variables

but are you passing this data with only

unique_id

,

ds

,

y

? the error is very clear in that you have two columns with the same name

Yes, there was a duplicate column, I removed it and it works. Thanks for your help. Can you tell me how I can train multivariate AutoNHITS model with expogenous variables

you can specify the

hist_exog_list

in the

config

when you define the search