support lag transformations from coreforecast - Githubissues

Nixtla / mlforecast

Scalable machine 🤖 learning for time series forecasting.

https://nixtlaverse.nixtla.io/mlforecast

Apache License 2.0

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support lag transformations from coreforecast #265

Closed jmoralez closed 11 months ago

jmoralez commented 11 months ago

Description

Adds support for the coreforecast lag transformations in addition to the numba ones. The benefits of these transformations are:

No cold starts (due to JIT compilation)
More efficient updates due to specific implementations, which should make the predict step substantially faster.
Multithreading implemented in C++, so no worries about the GIL.

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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