DeepAR: Mastering Time-Series Forecasting with Deep Learning

Amazon’s autoregressive deep network

Created with Stable Diffusion [1]

A few years ago, time-series models worked on a single sequence only.

Hence, if we had multiple time-series, one option was to create one model per sequence. Or, if we could “tabularize” our data, we could apply the gradient-boosted tree models — which work very well even…