Generating strong baseline forecasts

Time series forecasting has been around since the early 1920s, and through the years, many brilliant people have come up with different models, some statistical and some heuristic-based. I refer to them collectively as classical statistical models or econometrics models, although they are not strictly statistical/econometric.

In this section, we are going to review a few such models that can form really strong baselines when we want to try modern techniques in forecasting. As an exercise, we are going to use an excellent open source library for time series forecasting – darts (https://github.com/unit8co/darts). The 02-Baseline Forecasts using darts.ipynb notebook contains the code for this section so that you can follow along.

Before we start looking at forecasting techniques, let’s quickly understand how to use the darts library to generate the forecasts. We are going to pick one consumer from the dataset and try out all the...