Modelling Lagged Regressors#
In the current state of NeuralProphet development, Lagged Regressor support is
only available when the ARNet is enabled. This is because they are both handled in a similar way internally
using FeedForward Neural Networks and need to specify the n_lags
value. For simplicity, at the moment
we use the same n_lags
value for both the ARNet and the Lagged Regressors. Therefore, with Lagged Regressors,
the NeuralProphet object is instantiated similar with ARNet like below.
m = NeuralProphet(
n_forecasts=3,
n_lags=5,
yearly_seasonality=False,
weekly_seasonality=False,
daily_seasonality=False,
)
When fitting the model, the dataframe provided to the fit
function should have additional
columns for your lagged regressors like below.
ds 
y 
A 


0 
20071210 00:00:00 
9.59076 
9.59076 
1 
20071211 00:00:00 
8.51959 
9.05518 
2 
20071212 00:00:00 
8.18368 
8.76468 
3 
20071213 00:00:00 
8.07247 
8.59162 
4 
20071214 00:00:00 
7.89357 
8.45201 
In this example, we have a Lagged Regressor named A
. You also need to register these
Lagged Regressors with the NeuralProphet
object by calling the add_lagged_regressor
function
and giving the necessary configs.
m = m.add_lagged_regressor(names='A')
By setting the only_last_value
argument of the add_lagged_regressor
function, the user can
specify either to use only the last known value of the regressor within the input window or
else use the same number of lags as autoregression. Now you can perform the model fitting and forecasting as usual.
The plotted components should look
like below.
{: style=”height:500px”}
You can see the components corresponding to both autoregression and the Lagged Regressor A
.
The coefficients plot looks like below.
{: style=”height:700px”}
It shows both the AR and Lagged Regressor relevance at the 5 lags corresponding to the input window.