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Questions tagged [multivariate-time-series]

96 questions
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How to properly mask MultiHeadAttention for sliding window time series data

I have data in the shape (batch, seq_len, features) that is a time series sliding window. In essence, I'm using the most recent seq_len steps in order to predict a single target variable. This means that the output of the last seq_len value in my…
SnakeWasTheNameTheyGaveMe
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How to do Multi-step forecasting using XGBoost?

I am currently using XGBoost to predict sales in the future. My time series data is given per week interval. But I am not sure how can I do multistep forcasting using XGBoost. I split my data set into train and test and after training the model I…
abstract
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Can Modeltime package in r handle multivariate timeseries forecasting?

I am new to r programming language and using modeltime package for the first time. I am unable to find any documentation on this but wondering if anyone knows if it can forecast multivariate time series data? Could you point me to an example or…
Rcurious
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Multi-attention based supervised Feature Selection in Multivariate time series

I have been working on a multivariate time series problem. The dataset has at least 40 different factors. I tried to select only the appropriate features before training the model. I came across a paper called "A Multiattention-Based Supervised…
akhil raju
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Tensorflow: how to train a LSTM model with OHLC time series at different frequencies?

I want to use OHLC time series at different frequencies (1min, 5min, etc.) - but from the same timeframe (ex: 13:00 to 14:00) - and the corresponding indicator values at each frequency to train a model with Tensorflow/Keras/Pandas. Is it possible…
Minichua
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Copula-GARCH model in python

I'm trying to do a copula GARCH model with data from 5 indexes (SP500, STXE600, Nikkei, FTS100 and PHLXGOLD). My data is already in a dataframe and I modeled the 4 GARCH model I will work with: GARCH-n (GARCH model with normal distribution):…
Beatriz
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Temporal Fusion Transformer: how to join the prediction with the original data

I'm using Temporal Fusion Transformer to do sales forecast. For validation, how to join the prediction with the original data? I guess I need both the 'time_idx' and the group_ids to join the prediction with the original data. I have get the…
hellokitty
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Error when using sktime model on multiindex hierachical pandas dataframe (pd_multiindex_hier)

I want to use the sktime package for time series classification on a multivariet time series. My time series looks like this: It is a continious time series dissected into non-overlapping intervals (interval_label) on different sensor node…
pascal_
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How to reshape a time-series df for multivariate LSTM in R?

I have a df in R with 6000 rows and 90 variables. I want to predict the sales volume of product A for the next 12 months based on data about product A as well as competing products (B,C,D,...). To use an LSTM, I need to reshape the df into 3D format…
ainnie6612
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How to define a multivariate state space model with SARIMAX

I want to create a state space with a mutivariate endog data frame: data_augmented = pd.DataFrame({'x' : endog, 'Y_t_1': Y_t_1}) but when I run the SARIMAX command: mod = sm.tsa.statespace.SARIMAX(data_augmented, order=(1,1,1)) I get the following…
Victor Saucedo
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How to run Vector Autoregession - VAR model in R on compositional data for time series forecasting in R?

I have data that consists of 10 different variables. The nature of my data is compositional so each variable contributes a proportion with the total sum being 1. Here is an example of what that looks…
Sanam
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Using pandas, how do I summarize my dataframe to show daily average and standard deviation per category?

I have a dataframe that has a datetime Purchase Date column, a float64 Price column, and an object Location column. I have over 1000 locations, and almost all locations do not have daily data. I need to find the daily average price and standard…
novicePythonLearner
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Multiple time series with a different time span approach?

I'm working with 3706 time series loacated in the same file. But the time series time span is different for some of them. Some of the time series start at 01/01 and end in 12/31 But some straight up start in 11/24 to 12/25 They are daily…
Belle Flynn
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How to deal with equal times in multivariable time series

I'm trying to do predictive models for time series but I'm facing issues when we have the same year appearing twice or multiple times in a dataset. To give some context, I'm using this kaggle database that shows the life expectancy for people in…
Paulo Luis
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How to analyse this fitted vs data (actual) scatter plot

How to interpret this fitted vs data(actual) plot? My data is time series and there are many observations for the y variable for one year. scatter plot how to analyse it if my data is a time series one? This is a multiple linear regression…
Priscilla Raj
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