How To Predict Multiple Time Series At Once With Scikit-Learn (With a Sales Forecasting Example)

You got a lot of time series data points and want to predict the next step (or steps). What should you do now? Train a model for each series? Is there a way to fit a model for all the series together? Which is better? I have seen many data scientists think about approaching this problem by creating a single model for each product. Although this is one of the possible solutions, it’s not likely to be the best....

January 1, 2018 · 14 min · Mario Filho