PatchTST: Add support for time features - #3167
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@rshyamsundar the "lag-tst" model can also be tried as it allows one to take those features naturally |
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Description of changes:
Adding support for including time features in the
PachTSTmodel. The originalPatchTSTpaper does not talk about time-based features and there are several ways one could include them.Here we go with this simple approach (and maintain the simplicity of the
PatchTSTmodel):PatchTSTis encoder only model, we combinepast_time_featandfuture_time_feat(this dichotomy is an artefact ofgluonts) and (left) shift them byprediction_lengthso that the features are aligned with thetargetinput.Added tests for the
PatchTSTEstimatorwith features enabled.By submitting this pull request, I confirm that you can use, modify, copy, and redistribute this contribution, under the terms of your choice.
Please tag this pr with at least one of these labels to make our release process faster: BREAKING, new feature, bug fix, other change, dev setup