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jdb78 / pytorch-forecasting

Time series forecasting with PyTorch
https://pytorch-forecasting.readthedocs.io/
MIT License
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Multi Scale Time Series #678

Open polal2is opened 3 years ago

polal2is commented 3 years ago

Hi, I was wondering whether we could include multi-scale time series as features: say aggregate daily data with hourly data for example. I guess that would require a multi-branch (multi-input) model? In some context like e.g. financial data that may improve forecast.

What do you guys think ?

StatMixedML commented 2 years ago

@polal2is That is a good suggestion.

Where and how would you do the aggregation and how would you deal with the problem that the features of different aggregations (say hourly and daily) are of different length.