Add `VAR` model #508

egoriyaa started this conversation in Improvements

egoriyaa
Nov 14, 2024
Collaborator

Description

May be we can add one more model to ETNA zoo

VAR
- We consider target from all segments as a single vector and forecast this vector

Thoughts

We should add checks that there are no new segments during forecasting.
Interpreting set of segments as a multivariate vector could be troublesome, there could be a better alternative

Related

Add `VARMAX` model #507

Replies: 0 comments

Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment