forecasting-multiple-series

Forecasting Multiple Time Series

When to Use

• ForecasterRecursiveMultiSeries: A single global model learns patterns across many series. Each series is predicted independently but the model shares parameters. Best default for multi-series.
• ForecasterDirectMultiVariate: Uses values from multiple series as input features to predict one target series. Use when series are strongly correlated and influence each other.

Related skills

• Before: choosing-a-forecaster (decide between MultiSeries, MultiVariate, Rnn, or Foundation for multi-series problems)
• Before: autocorrelation-and-lag-selection (analyse representative series to inform the shared lags argument)
• Before: feature-engineering (build per-series exogenous and rolling features)
• After: hyperparameter-optimization (tune the global model across series)
• After: prediction-intervals (add intervals to the multi-series forecasts)

Stop Conditions

Scan before writing code. Each row lists a rule, the symptom when it is broken, and the recovery. Full pitfall catalog: the troubleshooting-common-errors skill.

Data Formats

ForecasterRecursiveMultiSeries accepts three input formats:

1. Wide DataFrame — columns are series, index is datetime:

   #            series_1  series_2  series_3
   # 2020-01-01     1.0       2.5       3.1
   # 2020-01-02     1.2       2.3       3.4
   

2. Dictionary — {series_id: pd.Series}:

   {'series_1': pd.Series([1.0, 1.2, ...]), 'series_2': pd.Series([2.5, 2.3, ...])}
   

Note: Long-format DataFrames are not directly accepted. Use reshape_series_long_to_dict() to convert long format to a dictionary first (see Data Reshaping Utilities below).

Complete Workflow

import pandas as pd
from lightgbm import LGBMRegressor
from skforecast.recursive import ForecasterRecursiveMultiSeries
from skforecast.model_selection import backtesting_forecaster_multiseries, TimeSeriesFold

# 1. Load data as wide DataFrame (columns = series)
series = pd.read_csv('data.csv', index_col='date', parse_dates=True)
series = series.asfreq('D')

# 2. Create forecaster
forecaster = ForecasterRecursiveMultiSeries(
    estimator=LGBMRegressor(n_estimators=200, random_state=123),
    lags=24,
    encoding='ordinal',       # 'ordinal', 'ordinal_category', 'onehot', or None
    transformer_series=None,  # Apply same transformer to all series
    # Per-series options (dict):
    # transformer_series={'series_1': StandardScaler(), 'series_2': MinMaxScaler()},
    # weight_func={'series_1': custom_weights_fn, '_default': None},
    # differentiation={'series_1': 1, 'series_2': None},
    categorical_features='auto',  # Auto-detect and encode non-numeric exog columns
    differentiation=None,
    dropna_from_series=False,     # True to drop NaN rows; False to keep (NaN-tolerant estimators)
)

# 3. Train
forecaster.fit(series=series)

# 4. Predict all series
predictions = forecaster.predict(steps=10)

# 5. Predict specific series only
predictions = forecaster.predict(steps=10, levels=['series_1', 'series_2'])

# 6. Backtesting (multi-series)
cv = TimeSeriesFold(
    steps=10,
    initial_train_size=len(series) - 100,
    refit=False,
)

metric, predictions_bt = backtesting_forecaster_multiseries(
    forecaster=forecaster,
    series=series,
    cv=cv,
    metric='mean_absolute_error',
    levels=None,  # Evaluate all series
)
print(metric)  # Shows per-series and aggregated metrics

With Exogenous Variables

# Exog can also be wide DataFrame, long DataFrame, or dict
forecaster.fit(series=series, exog=exog_df)
predictions = forecaster.predict(steps=10, exog=exog_test)

ForecasterDirectMultiVariate

from skforecast.direct import ForecasterDirectMultiVariate

# Predicts ONE target series using lags from ALL series as features
# Note: transformer_series defaults to StandardScaler() (unlike other forecasters)
forecaster = ForecasterDirectMultiVariate(
    level='target_series',    # Name of the series to predict
    steps=10,
    estimator=LGBMRegressor(n_estimators=100, random_state=123),
    lags=24,                  # Or dict: {'series_a': 12, 'series_b': 24}
    transformer_series=StandardScaler(),  # Default — set None to disable scaling
    categorical_features='auto',  # Auto-detect and encode non-numeric exog columns
    dropna_from_series=False,     # True to drop NaN rows; False to keep (NaN-tolerant estimators)
)
forecaster.fit(series=series_df)
predictions = forecaster.predict()

Data Reshaping Utilities

from skforecast.preprocessing import (
    reshape_series_wide_to_long,
    reshape_series_long_to_dict,
    reshape_exog_long_to_dict,
    reshape_series_exog_dict_to_long,
)

# Wide → Long
series_long = reshape_series_wide_to_long(series_wide)

# Long → Dict (freq is required)
series_dict = reshape_series_long_to_dict(series_long, freq='D')
exog_dict = reshape_exog_long_to_dict(exog_long, freq='D')

Common Mistakes

1. Mismatched series lengths: ForecasterRecursiveMultiSeries handles different-length series if dropna_from_series=True.
2. Wrong encoding for categorical regressor: Use encoding='ordinal_category' with regressors that natively handle categoricals (LightGBM, CatBoost).
3. Exog format mismatch: Exog format (wide/dict) must match the series format.
4. Forgetting levels parameter: By default predict() forecasts all series. Use levels to limit predictions.
5. Unexpected scaling in ForecasterDirectMultiVariate: transformer_series defaults to StandardScaler(), unlike other forecasters that default to None. Set transformer_series=None explicitly if you don't want automatic scaling.