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Hi Jose! Right now we're updating our tutorials, and the exogenous regressors notebook is one we're currently working on.

Now, cross validation is a method for evaluating and comparing the performance of different models, that may or not include exogenous regressors.

ah perfect, I'm going to try it with different lags of the exogenous variable

I can try implementing it and pass the notebook along if that will help for the tutorial

AutoARIMA is one of the models that can use exogenous regressors, but you need to add them as described in the current notebook (meaning as an additional column after the 'y' column).

Thank you for trying to help; we actually changed the tutorial so that it uses an example from the M5 Competition.

With that example, it should be clearer how to use exogenous regressors (in this case, price and special events).