nickbiso / temporal-variables

Temporal Variables for time series forecasting

Creating Temporal Variables

The Purpose of this exercise is to produce variables for time series forecasting. The functions that are in this module can create features based soley on the date in the index of that observation and/or previous features that were created in prior functions in the sequence. There are some variables that have two version (ie binary and ordinal) for which it is up to the user's discretion on which one to proceed with. The Variables created in this module include the following:

• Day of Week
• Day of Month
• Week of Year
• xth weekday of the month
• Federal Holidays
• Holiday +x/-x
• Lags
• Rolling Windows