[FEAT] Add MOMENT - Githubissues

Nixtla / neuralforecast

Scalable and user friendly neural :brain: forecasting algorithms.

https://nixtlaverse.nixtla.io/neuralforecast

Apache License 2.0

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[FEAT] Add MOMENT #1011

Open elephaint opened 1 month ago

elephaint commented 1 month ago

Feature:

Adds MOMENT to NeuralForecast, following this implementation. It is implemented (following the reference implementation) as a univariate model that does not support exogenous variables.

Todo:

Testing against other foundation models

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elephaint commented 1 month ago

awesome @elephaint! i left a couple of comments. i was also speaking with @cchallu and we think it might be better to make it univariate in this iteration (mainly because for datasets with a lot of time series, the model explodes in GPU). this model is natively univariate, so in that regard there is no problem. wdyt?

You're right! Changed to BaseWindows.