How to add predictors to LSTM time series model?

07 July 2018 0 5K Report

Hi All,

I'm doing Long-Short-Term-Memory (LSTM) to forecast time series. I was wondering, could we add x-reg part to an LSTM model? Like adding an X-Reg part to and ARIMA model?

Say I have a response monthly time series y (for about 10~20 years observation). And say I have about 400 signals (predictor time series).

Should I do feature-selection and regression first and then use LSTM to model the residuals?

Or is this the wrong way to add predictors to LSTM?

Thank you!

All the best,

Kathy Gao

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