I would like to know if there are any methods to forecast multiple time series that are related ? I heard of LSTM but of what I can see it's more to forecast one time series and not several at the same time but I'm not sure. Any ideas are welcome, thanks :)


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You could use vector autoregressive models to do this, please see the following resource: 11.2 Vector Autoregressive models VAR(p) models

This model is used for multivariate time series, and works by using each variable as a previous lag of itself as well as other variables.

In this regard, you could choose to model the multiple time series using statsmodels as per this example: statsmodels: Vector Autoregressions tsa.vector_ar

  • $\begingroup$ Thanks and sorry for the late reply but I'm definitely going to give it a try $\endgroup$
    – Pierre21
    Jan 9 at 9:35

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