Hi! Is any of the models included in StatsForecast able to handle multivariate time series?
10/31/2023, 6:29 PM
Hi @Germán Abrevaya if by multivariate you mean multiple series, all statsforecast's models allow you to forecast multiple series at once (just add a unique_id for them). If you mean with exogenous variables, then only some of the models allow this, namely the AutoARIMA & the MSTL-AutoARIMA. Here's a how to guide in case you haven't seen it. https://nixtla.github.io/statsforecast/docs/how-to-guides/exogenous.html
10/31/2023, 6:48 PM
Hi Mariana, thanks for your response! With multivariate, I don’t mean a single variable that is the primary one with the rest being secondary. I mean multiple coupled variables that are all equally relevant and are all targets for the forecast. For example, a dynamical system with multiple state variables.