Hi guys, thanks for the exciting library. I have ...
# neural-forecast
Hi guys, thanks for the exciting library. I have a question about exogenous variables with different time internals; Let's say I have two past exogenous variables, one is daily, and another one is monthly, and my target is also daily. Would it be possible to use these two variables as past exogenous variables in the neural models? for example, in the case of the TFT model. If this is possible, I wonder how this is done under the hood. If first needs some data processing to align the time intervals, do you have some ideas how this should be done? Thanks
Hi @Majid Yazdani. The library does not support mixing temporal variables with different resolutions. Both the target variable and exogenous variables should be included as columns in the same input dataframe with the same datestamps. We have a tutorial on adding exogenous variables: https://nixtla.github.io/neuralforecast/examples/exogenous_variables.html
The easiest solution is to repeat the monthly value for every day of the month. Current models assume all temporal variables have information at every timestamp.
👍 2
Thanks, the suggestion makes sense.