Does autogluon time series have automatic feature engineering?

[isCopyman]

It seems that there is no automatic feature engineering in the documents and tutorials

[shchur]

Currently, automatic feature engineering in AutoGluon-TimeSeries is limited to automatically selecting lags/generating time features (e.g., day of week, month, etc) for tabular & deep learning models. You can change these by overriding the model hyperparameters listed here https://auto.gluon.ai/stable/tutorials/timeseries/forecasting-model-zoo.html.

[isCopyman]

Will autogluon-timeseries automatically perform normalization and de normalization？

[shchur]

Yes, AutoGluon automatically applies normalization & denormalization for models where this is beneficial for the performance (e.g., models like DeepAR, LightGBM, TFT, PatchTST).