Using XGboost for time series prediction

Question

Can we use XGboost to do predition in time series data ? Could anyone explain the logic of mathematics behind that ?

Yes you can but traditional time-series tools (ARIMA, ETS etc.) would probably give you better results. — Tim, Commented Nov 16, 2017 at 16:15

AnscombesGimlet · Accepted Answer · 2017-11-16 21:51:38Z

2

Yes, I recommend reviewing this package, its documentation and citations:

Keep in mind, XGB does not typically outperform current time-series methods such as exponential smoothing or ARIMA.

answered Nov 16, 2017 at 21:51

AnscombesGimlet

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