add feature_engineering module

Nixtla / mlforecast

Scalable machine 🤖 learning for time series forecasting.

https://nixtlaverse.nixtla.io/mlforecast

Apache License 2.0

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add feature_engineering module #261

Closed jmoralez closed 8 months ago

jmoralez commented 8 months ago

Description

Adds the mlforecast.feature_engineering.transform_exog function to compute lag transformations on the dynamic exogenous regressors. Also adds a guide on how to use those transformed features in a typical pipeline.

Fixes #124

Checklist:

[x] This PR has a meaningful title and a clear description.
[x] The tests pass.
[x] All linting tasks pass.
[x] The notebooks are clean.

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