Time Series Forecasting — A Getting Started Guide

An intro to forecasting with multivariate time series

Intro

When I started writing this post I thought of just explaining how to do predictions with a “simple” time series (aka univariate time series). The challenging part of the project I was in, however, was the fact that the prediction needed to be made in conjunction with multiple variables. For this reason, I decided to bring this guide a little bit closer to reality and use a multivariate time series.