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What are the times series methods can I use to incorporate exogenous variables in the series other than ARIMAX and LSTM?

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Seasonal Autoregressive Integrated Moving-Average with Exogenous Regressors (SARIMAX) with Exogenous Regressors (SARIMAX) is an extension of the SARIMA model that also includes the modeling of exogenous variables.

The SARIMAX method can also be used to model the subsumed models with exogenous variables, such as ARX, MAX, ARMAX, and ARIMAX.

The method is suitable for univariate time series with trend and/or seasonal components and exogenous variables.

Vector Autoregression Moving-Average with Exogenous Regressors (VARMAX) is an extension of the VARMA model that also includes the modeling of exogenous variables. It is a multivariate version of the ARMAX method.

Classical Time Series Forecasting Methods

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  • $\begingroup$ May I ask you kindly to check this bounty question or this Time-series related questions 1, 2? I can allocate a bounty if you answer. $\endgroup$
    – Mario
    Oct 13, 2023 at 9:50
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In 2022, you can also use NBEATS model and Tranformer based models. It could be easily used with the help of darts library. https://pypi.org/project/darts/

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