Feature request: Custom predictors for multivariate forecasting

JoaquinAmatRodrigo / skforecast

Time series forecasting with machine learning models

https://skforecast.org

BSD 3-Clause "New" or "Revised" License

996 stars 113 forks source link

Feature request: Custom predictors for multivariate forecasting #644

Open KishManani opened 4 months ago

KishManani commented 4 months ago

ForecasterMultiVariate appears to only allow lag features to be created from the target time series. It would be helpful to be able to create rolling statistics from the target (aka window features) as well (like ForecasterMultiSeriesCustom).