create grouped aggregations of target variable for bottoms up forecast

microsoft / finnts

Microsoft Finance Time Series Forecasting Framework (FinnTS) is a forecasting package that utilizes cutting-edge time series forecasting and parallelization on the cloud to produce accurate forecasts for financial data.

https://microsoft.github.io/finnts

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create grouped aggregations of target variable for bottoms up forecast #95

Open mitokic opened 2 years ago

mitokic commented 2 years ago

To help the model distinguish between different groups in the data. May only be applicable to global models.

mitokic commented 2 years ago

Could also do aggregations at the date level. For example of monthly forecast can have quarter and year aggregations as features