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edited May 21, 2020 at 16:05

Nick Cox

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Are there any alternative approaches to ARIMAX that include external aggressorsregressors?

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asked Jul 18, 2019 at 4:29

Gaurav

Are there any alternative approaches to ARIMAX that include external aggressors?

I have been searching for time-series techniques that can model highly volatile data, but most techniques that are recommended like GARCH, BSTS, TBATS, etc. don't have a very clear-cut way to include external regressors. Are there any alternate popular techniques, especially non-linear or non-parametric ones that use external regressors?

time-series