sktime for time series LASSO regression #1317
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LauraWeile
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@LauraWeile, going currently through the questions and found this one unanswered. What you want to do can be done using For details, look at the forecasting tutorial and change the estimator in the "reduction" example to one of the lassos. |
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Hi!
I tried reading through the documentation of sktime as I want to run a LASSO regression on time series data. I have several features in my data set including lagged observations of the variable that I want to forecast.
I cannot find anything on LASSO regression in the documentation, but will sktime support the sklearn LASSO as a regressor? If not, do anyone have a suggestion to how I proceed from here?
Thank you!
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