Time series forecasting with machine learning models

A python package for time series forecasting with scikit-learn estimators.

An R package with Python support for multi-step-ahead forecasting with machine learning and deep learning algorithms

flexible time series forecasting using machine learning

This repo replicates the results in the paper 'forecasting in small open emerging economies: Evidence from thailand' It includes multiple Bayesian forecasting model, both univariate and multivariate, direct and iterate forecasts. Main highlight is to perform speical sampling method for ultra high dimensional regression with horseshoe prior (matlab)