Yaping Lang10/01/2023, 1:07 PM
should i grid search all other paramters to find the best combination first, and then adjust the finetune_steps . Or is it ok to do the all at once like above? 3. when i include exogeuous variables, should I check their multi-collinearity and cross-correlations (eg. using emsemble method based on random decision forest) with the target and only select the ones with low cross-correaltions and no multi-colinearity first, and give them to timegpt? I see timegpt has apis to display weights of each exogeuous variables. but i'm not sure if I am intending to try 100 + exogeuous variable, should I do a pre-screening first ? and then use the timegpt's weighting results to further adjust and removal ? Many thanks !
lookback_period=[60,90,365] finetune_steps =[10,50,100] pred_horizon=[7,14,30] freq='D'