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forecasting: selecting exogeneous variables

See original GitHub issue

I think there should be wrappers that allow to select which exogeneous variables to use, which is useful in cases where forecasters behave differently if they get exogeneous variabes or not. Notably, a large number of “garbage variables” can hamper performance, so selection of exogeneous variables may be helpful, and enables automated selection, too. For instance, useful wrappers could be:

IgnoreExogeneous which blocks any X from being passed.
SelectExogeneous which takes a list of column names, and only passes those ones through.

The SelectExogeneous can also be used in combination with tuning for automated feature selection.

Issue Analytics

State:
Created 2 years ago
Reactions:1
Comments:5

Top GitHub Comments

2reactions

RNKuhnscommented, Aug 16, 2021

@fkiraly would the idea also be to eventually add functionality for automated exogenous variable selection methods?

0reactions

aiwaltercommented, Sep 22, 2021

closed by my PR #1347

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