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The original implementation of DLinear (and NLinear) does not support exogenous variables. In one publication (can't remember which one) I read that DLinear does not support them because it would worsen its performance, but in the original article I don't seem to see mention of this.
However, there are implementations of DLinear with support for exogenous variables, for example:
(it seems to me that support for exogenous variables in these two libraries is added a bit differently)
Do you think it might make sense to create a "DLinearx" (and NLinearx) class with Darts-style support for exogenous variables (historical, future, static)? @elephaint Opinions?
Use case
I think DLinear could be useful where a fast and simple model is needed (even more so than TiDE), but the lack of support for exogenous variables is quite crippling.
The text was updated successfully, but these errors were encountered:
Performance will likely not be that good, simply because adding exogenous properly is quite hard (see TSMixerx vs TSMixer, it commonly requires a big structural change to the original architecture).
Not convinced (yet) of the benefit over other simple, fast models such as NHITS, TSMixerx, BiTCN, and TiDE that offer exogenous too.
I don't know yet, but open to be convinced for either side.
Personally, I think the library would benefit greatly from a 'how to choose a model'-section where we simply steer users away from models such as DLinear if they require exogenous (this is something that is on my long-term todo list....).
Description
The original implementation of DLinear (and NLinear) does not support exogenous variables. In one publication (can't remember which one) I read that DLinear does not support them because it would worsen its performance, but in the original article I don't seem to see mention of this.
However, there are implementations of DLinear with support for exogenous variables, for example:
(it seems to me that support for exogenous variables in these two libraries is added a bit differently)
Do you think it might make sense to create a "DLinearx" (and NLinearx) class with Darts-style support for exogenous variables (historical, future, static)? @elephaint Opinions?
Use case
I think DLinear could be useful where a fast and simple model is needed (even more so than TiDE), but the lack of support for exogenous variables is quite crippling.
The text was updated successfully, but these errors were encountered: