Question: grid search for lags?

[zora-no]

gridsearch() can be used to find the best model-specific hyperparameters. Regarding the lags, I only found the option to define a specific number of lags when initializing the model. Is there also a way to do a gridsearch of the best lags (of target series, past & future cov)?

[dennisbader]

Yes, you can use Darts' gridsearch to find the best lags.
For that you have a few options (as the lags arguments can either be int or list)

If you use int as lags:
model.gridsearch(paramaters={..., "lags": [-1,-2,-3, ...]})

If you use list as lags:
model.gridsearch(paramaters={..., "lags": [[-1,-2,], [-1, -2, -3], ...]})

[zora-no]

Awesome, thank you!

I'm also trying to find a way to extract the feature importance, but haven't found a function to do that. Can you help?
I've tried doing it manually with the code below, but I feel like there probably exists a (better) function in darts that I just can't find?

X has the following structure:
lags_target | lags_past_covariates | lags_future_covariates
Where each lags_X has the following structure (lags_X=[-2,-1] and X has 2 components):
lag_-2_comp_1_X | lag_-2_comp_2_X | lag_-1_comp_1_X | lag_-1_comp_2_X

feature_names = [["target_lag_" + str(lag) for lag in model.lags["target"]]]
if "past" in model.lags.keys():
    feature_names.append(["past_" + str(var) + "_lag" + str(lag) for lag in model.lags["past"] for var in model.past_covariate_series.components.values])
if "future" in model.lags.keys():
    feature_names.append(["future_" + str(var) + "_lag" + str(lag) for lag in model.lags["future"] for var in model.future_covariate_series.components.values ])

feature_names = [val for sublist in feature_names for val in sublist]

feature_importances = model.model.feature_importances_
pd.DataFrame(data = {"importance": feature_importances}, index=feature_names)

And what would the structure be like if I had a multivariate forecast, i.e. multiple targets?

[hrzn]

There's currently no feature in Darts to return features importance - we are however working on it here.

I'm closing this issue as the initial issue has been resolved.

[hrzn]

There's currently no feature in Darts to return features importance - we are however working on it here.

I'm closing this issue as the initial issue has been resolved.