Marcello Infantino

02/08/2023, 8:48 PM
Hi all, is there a specific model of Neural Forecast you'd recommend to forecast multiple target variables?

Kin Gtz. Olivares

02/08/2023, 8:51 PM
Hey @Marcello Infantino, We currently added Gaussian/Poisson Multivariate Mixture distributions that can be used as the output layer of any neural forecast model. If you are certain on the existence of strong correlations of the target variables you can fit such multivariate models.
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My recommendation when fitting multivariate models is to have a strong univariate baseline to which you can compare to make sure there are benefits of more complex models.