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clisztian t1_j8z3t1r wrote

Reply to comment by dj_ski_mask in [Discussion] Time Series methods comparisons: XGBoost, MLForecast, Prophet, ARIMAX? by RAFisherman

I guarantee you a state space model will beat out any fancy named transformer for most “forecastable” problems. Even MDFA - signal extraction + exp integration for forecasting - will beat out these big ML models

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dj_ski_mask t1_j9345mc wrote

I should mention with some tuning I have been able to get NHITS to outperform Naive Seasonal, CatBoost with lags, and ES models, so it’s not terrible.

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