awslabs / gluonts

Probabilistic time series modeling in Python
https://ts.gluon.ai
Apache License 2.0
4.41k stars 740 forks source link

PatchTST: Add support for time features #3167

Closed rshyamsundar closed 1 month ago

rshyamsundar commented 1 month ago

Description of changes: Adding support for including time features in the PachTST model. The original PatchTST paper does not talk about time-based features and there are several ways one could include them.

Here we go with this simple approach (and maintain the simplicity of the PatchTST model):

Added tests for the PatchTSTEstimator with features enabled.

By submitting this pull request, I confirm that you can use, modify, copy, and redistribute this contribution, under the terms of your choice.

Please tag this pr with at least one of these labels to make our release process faster: BREAKING, new feature, bug fix, other change, dev setup

kashif commented 1 month ago

@rshyamsundar the "lag-tst" model can also be tried as it allows one to take those features naturally