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Table Of Contents
Modern Time Series Forecasting with Python - Second Edition
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The basic idea behind time delay embedding is to embed time in terms of recent observations. In Chapter 5, Time Series Forecasting as Regression, we discussed including previous observations of a time series as lags (Figure 5.6 under the subsection Time delay embedding).
However, there are a few more ways to capture recent and seasonal information using this concept.
Let’s take a look.
Let’s assume we have a time series with time steps, YL. Consider that we are at time T and that we have a time series where the length of history is L. So our time series will have yT as the latest observation in the time series, and then yT-1, yT-2, and so on as we move back in time. So lags, as explained in Chapter 5, Time Series Forecasting as Regression, are features that include the previous...