Adding regressor or exogenous variable(s)

[Riyad Parvez]

Is it possible to add features that would also take regressor or exogenous variables?

Stats-model version of adding exogenous variable: https://www.statsmodels.org/dev/generated/statsmodels.tsa.statespace.sarimax.SARIMAX.html

Facebook Prophet adding regressor: https://facebook.github.io/prophet/docs/seasonality,_holiday_effects,_and_regressors.html#additional-regressors

[andrewczgithub]

Hi @philipperemy !
Love this work!
Is the above a possibility, I know the original paper was for uni-variate series.
Best,
Andrew

[Philippe Rémy]

Thanks guys! Yeah I agree it would be a great addition to N-beats :)

I don't have time at the moment but will put in mid term backlog!

[andrewczgithub]

Cheers @philipperemy ! much appreciated!
Best,
Andrew

[Philippe Rémy]

@andrewczgithub There's an effort to support it here: #12

[Philippe Rémy]

cc @riyadparvez

[andrewczgithub]

Hi @philipperemy looking very cool!!
Will this be merged?
Cheers,
Andrew

[Philippe Rémy]

@andrewczgithub it's now merged: f89f81f
Looking forward to hearing your feedbacks!