Comments (3)
BTW here is what I'm talking about covariates=exogenous https://alkaline-ml.com/pmdarima/modules/generated/pmdarima.arima.auto_arima.html
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That's a good one. We currently have autoARIMA but only as a UnivariateForecastingModel
. We should implement the multivariate variant (wrapping either around pdmarima or statsmodels, or both) to include exogeneous variables.
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Our implementations of ARIMA and AutoARIMA are simple wrappers around models from statsmodel (for ARIMA) and pmdarima (for AutoARIMA), which both support specifying exogenous variables, so I wouldn't expect this to be a very hard fix indeed. Marking this as "Good first issue"
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