Multivariate Time Series Forecasting in Python
In this article, we’ll explore how to use scikit-learn with mlforecast to train multivariate time series models in Python. Instead of wasting time and making mistakes in manual data preparation, let’s use the mlforecast library. It has tools that transform our raw time series data into the correct format for training and prediction with scikit-learn. It computes the main features we want when modeling time series, such as aggregations over sliding windows, lags, differences, etc....