vcerqueira / vest

Automatic Feature Engineering for Time Series

VEST

NOTE ON PYTHON VERSION

I developed a new python version which is available at https://github.com/vcerqueira/vest-python

This one contains the R package and the experiments necessary for the paper which is under review. In future developments, I will focus on the python implementation.

Vector of Statistics from Time Series

This package/project contains a set of tools for automatic feature engineering for time series forecasting problems. This is an early version complementary to ongoing publication (under peer review)

In order to understand how vest works you can go through the experiments within "experiments" folder, which already contains a dummy example.

Feel free to get in touch if you have any question at [e-mail]