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Nixtla / statsforecast

Lightning ⚡️ fast forecasting with statistical and econometric models.
https://nixtlaverse.nixtla.io/statsforecast
Apache License 2.0
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Allow external regressors TBATS #780

Closed juanitorduz closed 9 months ago

juanitorduz commented 9 months ago

Description

It seems the current TBATS implementation does not allow external regressors. Still, I think (maybe I am wrong 🙈 ) that it should be "easy" as we need to pass X here https://github.com/Nixtla/statsforecast/blob/main/statsforecast/tbats.py#L875 into the auto_arima_f as this function already have and xreg argument. Do you think it is that simple? If so, I could open a PR.

Use case

Having the availability of including external regressors can be very useful for real applications.

candalfigomoro commented 9 months ago

https://robjhyndman.com/hyndsight/tbats-with-regressors/

juanitorduz commented 9 months ago

Thank you for pointing that out! It makes sense :) . It would be great to have these observations in the docs 😄! I'll close this issue then.