I have a problem where I want to forecast one value but I have multiple time series feature but target will be one of the feature. I have a tried ARIMA with single time series. Is there a way we can forecast with multiple input time series feature and single time series value as forecast-ed output?
1 Answers
You can add exogenous features in ARIMA. That's what the "X" means in "SARIMAX". I don't know what programming language you are using, but you can do that in both Python/statsmodels and R. See https://otexts.com/fpp3/regarima.html
Related